kathleen.wisnieski you will need to also move any associated workitems (Stories or Defects) manually to the new project. Otherwise the will remain in the original project.
If you use the PortfolioItems window (or a custom gridboard), you should be able to do a bulk edit on the feature and all it's children to change the Project at the same time, if that is what you are trying to do.
The only exception to this is tasks. Tasks will automatically move to the project that their WorkProduct is associated with.
kristy