Feature modules are used in Instant apps and Android App Bundles so that when app requests a feature while using the instant app or App Bundles, the Play store loads only requested feature module code, and not others. In the case of Instant apps, once the user is done using the feature the code is discarded. If you are working on a regular app and not instant app, I think you should be using Android library module.
Android App Bundles will be used to break up your app into small chunks so that a user doesn’t have to download all of the code in your APK if they don’t need it.