Are you sure you have added a featured image for the post as well? Even if you are using a featured video for a post, you need to make sure you have a featured image as well. Are you referring to post loops or single post pages? Also are you sure you have featured videos turned on for post loops in the theme options? Maybe that's the issue...
Yes its turned on. All I want is that Theme should automatically grab featured image from Video.
Oh I see, well if you want that kind of functionality you'll need to use a plugin. The theme is not capable of generating a thumbnail automatically from a video. You need to either add a featured image for each post, or use a plugin to create them automatically.