Hi Leon,
if you are running on Mendix cloud, you can set some HTTP headers, but not the "Feature-Policy" one. If your application runs on-premise or custom hosting provider you should have full control over the HTTP headers based on the webserver configuration
See for more information the documentation here:
https://docs.mendix.com/developerportal/deploy/environments-details/#http-headers
and
https://docs.mendix.com/developerportal/deploy/mendix-cloud-request-headers/