When creating a Blog Entry, if you UPLOAD any Image Attachments via the Attachment Uploader (part of the editor), the blog entry create service will set the 1st uploaded image attachment as the Blog Entry Cover Image. If you uploaded multiple image attachments, you can use the "Set Cover Image" feature to chose any of the uploaded image attachments as the Cover Image. Blog's have the same feature. Each Category has an option to REQUIRE a Cover Image, so that when Blog Entries are created, then won't save unless there is at least 1 image attachment uploaded, ensuring that each blog entry has a Cover Image.
HOT LINKED IMAGES do not come into play as those are not Image Attachments.
You are confusing XenForo Image Attachments and Hot Linked images (images that are hosted on an external server). There are not connected in any way shape or form.
Also, the term Embedded in XenForo, applies to Image Attachments, not Hot Linked images. The XenForo attachment System lets you embed image attachments into the content AS AN OPTION, but its not the default and there is no auto embedding).
You don't have to embed an image attachment into the blog entry content (they are not auto embedded). Uploaded Image attachments will display where ever you configured them to display via the UBS Options (Own Tab, Below the blog entry (which is just like how image attachments display below the post when they are not embedded) and No Gallery (which is basically what you want).
Just TRY it. Create a TEST Blog Entry and upload at least 1 image attachment (better yet, upload 3 or 4) and you will see that the system sets that uploaded image attachment as the Blog Entry Cover Image. Then you will see that the "Set cover image' function is available and when you set a different cover image, it changes the image that is used on the listing pages. Its just that simple.
THEN, if you don't want uploaded image attachments displaying, simply set the Image Gallery location in the UBS Blog Entry Page options to "No Gallery" and you will see that the uploaded attachments do not display anywhere, but the image attachment that you set as the cover image does display on Listing Pages (and of course, OG image will use the Cover Image if one is set).
You are over thinking things and trying to compare features from WordPress to XF to UBS. UBS has its own system that has been in place for 15 years and nothing to do with WordPress or XF Article Threads.