Featured Content: If you select the Gallery or Video media types you have a choice to show the simple featured image as the main graphic of the portfolio item in the listing or use the gallery or the video itself. Choose the Thumbnail option if you want to have the image only and choose the Media if you want to show the gallery or the video in the listing.
Please upload images in images manager section. Click on Manage Images button on the right side of the gallery settings.
Please make sure that you didn't enabled option: Images of the Current Gallery. Option should have Show value to show images.