How features store settings
Features that are created locally have all there setting and content in the database as they where there before you export them to the feature, as an example if you created a view it will reside in the database even if you exported it to a feature.
as for features enabled on another site it will store every thing in the database when enabled except for ctools exports, which in this case even if you disable or uninstalled the feature those sittings will persist in the new site database, an example a strongarm (variable) will still be set even after you uninstall the feature.
as for settings using ctools exports they will not be added to the database unless you have override them, as an example if you had a view exported through features it will disappear if you have disabled the feature since it only exist in code.
Features do not delete any thing in your database if uninstalled, except for true exportables that can only reside in code without the need to be in the daatabse to work.
Suggested features workflow
When creating a feature on you local development machine it is a good thing to enable it to see if the settings in your database and the settings in the feature does match and be aware if they do change.
As for removing things added by the feature you can add a hook_uninstall manually to your feature .install file and remove or delete what ever you like just like a proper module will do when uninstalled.
More info about this issue: