Featured Image box is internally a meta box, added using add_meta_box (ref. edit-form-advanced.php line no. 128). As far as my research went, there is no filter applied to the meta box title (ref. template.php line no. 846). Hence you cant change the metabox title using a filter. Though you can try printing the contents of global $wp_meta_boxes (returned blank in my case), or use a jQuery trick to get your job done. But if you ever want to change the inner text, 'Set featured image' (or the html for that matter), you can use the filter admin_post_thumbnail_html.