My advice would be not to put features on layers. It will only lead to more questions.
Features cannot be on layers, only objects can be selected and put on layers. Features can produce multiple objects, where each object can be on a different layer. So on which layer would the feature then be?
In the case of sketch there is a single sketch object produced by a single feature. The sketch object is put on a layer.
It does not solve your problem, but I hope it clarifies what is going on.