This is an example of audio post format. You don’t really need to set post featured image for audio post formats, it’s up to you.
Status post format displays the whole content of your post. It is a short status update, similar to a Twitter status update. You can set post featured image or your gravatar will be displayed instead.
This is an example of link post format, which display a whole post content and emphasize the link within. This is an example of link in post content.