Turns out this is a bug(?) in Drupal 7.
The Dropdown list field's values are not saved in Features on a per-instance basis.
This can be fixed by using hook_field_widget_form_alter in the Feature's .module file, eg:
/**
* Implements hook_field_widget_form_alter().
*/
function my_colors_field_widget_form_alter(&$element, &$form_state, $context) {
if ($form_state['build_info']['form_id'] == 'my_colors_node_form' &&
$context['field']['field_name'] == 'field_dropdown_text_single' &&
$element['#entity_type'] == 'node') {
$form_field_wrapper = entity_metadata_wrapper('node', $element['#entity']);
$default_field = $form_field_wrapper->field_dropdown_text_single->value();
$element['#default_value'] = !empty($default_field) ? $default_field : '';
$element['#options'] = [
'Red' => 'Red',
'Blue' => 'Blue',
'Green' => 'Green',
];
}
}
...drupal is so great...