You cannot mate features. You can only mate entities.
You have this behavior (i.e. select returns true but the feature is not selected) because the pointer to a feature is actually in the context of the part (I think you get the pointer from something like IModelDoc2::IFirstFeature). In order to convert the pointer you need to use IComponent2::GetCorresponding method.
But as Josh said the IFeature is not appropriate input for any mates. You may need to extract faces or planes. But make sure that the pointer in the correct context.
You may not see the feature as selected in the feature tree, but in the graphics window. If it returns true, then at least 'something' is selected.