When selecting a Featured Image for a site/section header if one chooses a png it will not display and the usual random header images will present instead.
Replace the PNG file for the same image saved as a JPG and there are no problems.
No warning is given that the PNG image is not acceptable or will not display. Random trial and error discovered the issue.
JPG should be used for large banners anyway, however, there should be some notification if they can not be used – at least in the FAQ, Documentation, header image area or other places someone might check if they are having problems.