The "features" you're referring to are Vim's build-time features. Think of these features as options you can get when you buy a car. For example, many cars come in a 4-door or 2-door version. You need to specifiy up-front which one you want, and you can't change your mind later on unless you want to get a new car. Likewise, you can't change the compile-time options in Vim without building a new binary.
A lot of these features are also mutually exclusive. For example, you can't enable both the motif and gnome versions of the gui simultaneously. (just like you can't have a car that's both 4-door and 2-door)
Also, some of the feature are OS-specific. For example, you aren't going to get the "amiga" feature unless you're running Vim on an Amiga.
That said, most pre-built binaries of Vim that you're likely to come across will have the majority of interesting features enabled. You can use :version
to find out which features are enabled in your build of vim. Once you've done that, take a look at :help feature-list
(scroll down a bit) for a list of the features along with links to relevant documentation for each feature.