As you’ve probably noticed, the header on this page isn’t the regular one with the clouds and the adorable avatar of me. This is either a handy little trick, or a deeply annoying feature of WordPress, depending on whether you actually intended to change your page header or not.
If you choose an image as wide, or wider than, your header image when you Set Featured Image, it will be used to replace the header image on that page, and only on that page.
If you’d really rather it didn’t do that, and would prefer that it just sits politely in the top corner of your post like a well-behaved image should, you’ll have to edit the image so that the width is less than the width of your header. In general, I find that images of 800 pixels, or less, in width will be safe in most cases.