add_filter( 'admin_post_thumbnail_html', 'add_featured_image_instruction');
function add_featured_image_instruction( $content ) {
    return $content .= '<p>The Featured Image is an image that is chosen as the representative image for Posts or Pages. Click the link above to add or change the image for this post. </p>';
}

http://wpglee.com/2011/03/add-or-change-content-in-the-featured-image-meta-box/

Add or Change Content in the Featured Image Meta Box
Posted on March 21, 2011

Perhaps you need to provide a little extra instruction about the Featured Image meta box. It doesn’t take much to add your own text to that box:

Add or Change Content in the Featured Image Meta Box - Wordpress

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