The easiest method via pax-exam might be to get the feature service, get your feature and check the status; this would look somehow like (I've written this one from memory so don't expect that there are no typos :-))):
In the shell you can easily do something like "features:list | grep myFeature"; Depending on your need you can also automate the check of all your features writing a shell script for karaf checking if all your features containing "Started" in the same line...
TBH, thanks to grep, I do not consider a feature:status command for really required, but on the other hand it wouldn't hurt neither ;-) would you like to create a Jira for this? Might be a good and easy starter task for someone who would like to start contributing to Karaf.
Good to hear that the idea works for you. BTW, if you use pax-exam to test Karaf you might also want to give paxexam-karaf a shot (https://github.com/openengsb/labs-paxexam-karaf). This one is also included in the master and will be released with 3.0.0 somewhere in December.