@Namrata Dubey, using this query you'll get every feature that has a user story in the specified release. If feature FOO has one story in R1 and one story in R2 and you condition a query to return features with user stories in R1 then feature FOO meets the filter criteria. Remember, in this scenario you're filtering out features, not stories.
A different approach might be to query user stories instead of features (Release.Name = "R1"), and include the Feature column in the query results, ordered by Feature. You may have duplicates if a feature has two stories in R1 but it shouldn't be difficult to see them, and you can always export your custom list to CSV and de-dupe in Excel.
By the way, @Ken LaFrance is my boss so in no way should this be construed as contradicting his answer ;-)