You can manually do it by right clicking on feature, select feature properties and set suppressed for all configuration.
With API, you need to traverse thru all configurations.
Okay so I found a solution to my problem. It might not be the most eloquent way of doing it, so if anyone has another way, please let me know.
So I had to add in the IFeature interface to be able to select all configurations.
Used the SelectByID2 function to mark the feature with a "1".
Then used the GetSelectedObject6 to selected the marked feature.
Could now use the SetSuppression2 function to suppress the feature in all configurations.
Like I said, it might not be the best or easiest way to do it, but it works. If anyone has another solution please post. I like to see all possible solutions to a problem as it is a great way to learn.
swFeat = SldWorks.Feature
boolstatus = swModel.Extension.SelectByID2("Nozzle Hole", "BODYFEATURE", 0, 0, 0, False, 1, Nothing, 0)
Set swFeat = swModel.ISelectionManager.GetSelectedObject6(1, 1)
boolstatus = swFeat.SetSuppression2(0, 2, True)
swFeat = Nothing