SUMMARY
I set my font to: JetBrains Mono, Medium, 11 with a font feature 'zero' to get slashed zero.
Settings are applied, and work as expected, but on restart the 'zero' feature is gone.
The appearance section of the profile file looks like this:
[Appearance]
AntiAliasFonts=true
BoldIntense=true
BorderWhenActive=false
ColorScheme=Breeze
EmojiFont=Noto Color Emoji,11,-1,5,400,0,0,0,0,0,0,0,0,0,0,1
Font=JetBrains Mono,11,-1,5,500,0,0,0,0,0,0,0,0,0,0,1,Medium
LineSpacing=0
UseFontLineChararacters=false

This works correctly, for example, in Kate where I see this in the config:
Text Font=JetBrains Mono,11,-1,5,400,0,0,0,0,0,0,0,0,0,0,1
Text Font Features=zero=1,calt=0


Operating System: Arch Linux 
KDE Plasma Version: 6.5.2
KDE Frameworks Version: 6.19.0
Qt Version: 6.10.0
Kernel Version: 6.17.7-arch1-1 (64-bit)
Graphics Platform: Wayland
Processors: 16 × AMD Ryzen 7 6800H with Radeon Graphics
Memory: 40 GiB of RAM (34.9 GiB usable)
Graphics Processor: AMD Radeon 680M
Manufacturer: LENOVO
Product Name: 82RE
System Version: Legion 5 15ARH7