You need to upload images for each thread promoted to the slider.
Until you do, they won't show.
When you feature a thread, check the "Promote to slider" checkbox and save.
Then, wait for the second overlay to appear, click on the Slider tab and upload an image/use an attachment from the post.
If you've already featured it, update it and check the "Update image" checkbox and save.
Then, wait for the second overlay to appear, click on the Slider tab and upload an image/use an attachment from the post.