custom taxonomy - Implementing Pillar Posts; Long Posts yet with Some Page-Like Handling? in WordPress

As I was reading your post I was envisioning almost exactly what you prescribed at the end:

My first inkling would be to develop a custom post type for features like this with its own custom taxonomy. Each "post" would be an inpidual feature (custom post type) and would be owned by a series (custom taxonomy). Then each post could be included in the loop when published but also on the archive page for the series.

The only difference was I was thinking "Pages" instead of "Features" mostly because you referred to Pages in your question but Features is probably even better.

So your instincts are already spot-on , IMO anyway.