Which filter fires upon setting a featured image

A nearly identical use case for your question is found in the WordPress documentation for the filter admin_post_thumbnail_html.

A filter hooked to this will receive the HTML for the admin screen as $content. Modify and return this markup as you wish.

function filter_featured_image_admin_text( $content, $post_id, $thumbnail_id ){
    $help_text="<p>" . __( 'Please use an image that is 1170 pixels wide x 658 pixels tall.', 'my_domain' ) . '</p>';
return $help_text . $content;
}

add_filter( 'admin_post_thumbnail_html', 'filter_featured_image_admin_text', 10, 3 );

Full details here:
https://developer.wordpress.org/reference/hooks/admin_post_thumbnail_html/