I am aware I can control access to services (web, winbox, api, etc.) and rights (read, write, sensitive, etc.) but how can I control access to features (/ip firewall nat for example)?
You can use the API to make your own GUI tool, or you can use Design Skin mode to modify Webfig to hide unnecessary menus.
This is more cosmetic though, not very secure.
You mention that its "not very secure". Is this because a user could craft manual HTTP requests and send them to Webfig? If they had another RouterOS to play with, determining these requests would be very easy (Chrome developer tools / Wireshark) I think?