If I add Initiatives and Features to the Cells section of a pivot table (not Rows or Columns), the display is a little funny. It lists all the features and prepends the Initiative with a dash in between. It would be better to see more of a hierarchy with an indented list, rather that "initiative - feature" on every line. It gets a little cluttered.
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By adding the initiatives and features to the cells section, the intended action is to be able to show both Initiative and Feature information in a single cell. Depending on the exact view that you are trying to achieve, using the rows or columns could be a better way to organize the information (perhaps by Initiative name)