Good afternoon Greg and welcome to the Events Calendar forum!
Thank you for your interest in our products.
We’ll be glad to answer your questions.
when I use the option “Include events in main blog loop” with the pro version will events show the featured image as the standard post show. I tested it with the free version and events show up in the loop, but without the featured image.
Normally, the featured image should display wether you use the Events Calendar free or the Events Calendar Pro.
If it does not with your specific theme, you might have to look into the code of the theme responsible for handling featured images.
Try temporarily reverting back to a default WordPress theme such as twenty-sixteen and you should see the featured image appear when this option is selected.
Best regards,
Geoff B.