When I preview a campaign in Mailchimp, the featured image does not appear or shows as a broken image. But when the email is sent, the image appears correctly.
Mailchimp's Preview mode does not like the responsive image SRCSET code that WordPress adds to the RSS feed image when the website URL is not using HTTPS. Mailchimp does seem to use a proxy URL which uses HTTPS for the SRC image URL, but the SRCSET HTML seems to override that first image SRC URL, causing the broken image and insecure warning.
The image will usually work fine when sending the emails out, because it's not requiring HTTPS for images in Gmail or other email programs (yet).
You can ignore the preview issue, knowing the image will show in the Inbox, or update your website and feed URL to use HTTPS, or upgrade to the Premium version of the plugin, which provides superb support and has a checkbox for disabling the responsive images in the feed.