Reattach media after moving to another server

When you use the importer it should prompt whether to download any media/attachments it finds in the posts. If you don’t say yes, they will not be added to your Media database. To my knowledge, even if you do say yes, Featured Images are not included. It’s a very rare instance that I recommend using the built-in importer, and migration from one server to another isn’t one of those.

I would start over and follow the instructions here: http://codex.wordpress.org/Moving_WordPress

If you don’t mind paying for the convenience, there are services that will perform the migration for you. And many WP-specific hosts will also include the migration for free when you sign up for hosting with them.