As part of a top-down appoach to mapping products, it would be a great time-saver to be able to create features from the Strategy -> Initiatives view, when the Initiative overview popup is visible. It is possible already to create to-do's that way with the small plus button, and features do show up on that screen when they exist, but no plus button is available for them.
This has been shipped. You should now see a + button next to the Features text on the Initiative drawer.