If you are checking for it in the Media Library, then yes, you will see it there.
However, according to what I see when I do a "view page source" on your site, it shows you are using a child theme of 2011. Great that you are using a child theme! :) But, you also set that image as your header image from within Appearance > Header, which of course is the correct method. BUT, and here's the issue, it stores this path, along with other values, in the database using serialized strings, which that plugin does not handle.
All that confusion aside, the easy way to get it back is to just go through the selection and uploading of that image again after first deleting the existing version.