The slider in Oxygen will only display an image that has been marked as a featured image if it is at least 750 pixels wide and the post where it is marked as a featured image has to be sticky.
Without the first two conditions (featured image at least 750 pixels wide and the featured image appears in a post marked as sticky), there will be no slider. I assume there also needs to be more than a single post for the slider to display, but I could be wrong.
And all the above assumes that you are indeed using the special Oxygen showcase template and not the regular blog template. http://theme.wordpress.com/themes/oxygen/