I've been having a little play with this. I can create dependencies between epics at the Capability level, and at the Agile Team level I can add Features and Capabilities to the team and to a specific script from the 'new feature' / 'new capability' options on the new button, but when I switch to the Planning Board view of the Sprint I only see the Stories. The word 'story' appears in bold as it does on your screenshot, as if it's meant to be a clickable 'drop-down' list, but no other choices are available. That page seems to be the only interface that visualises dependency lines.
Options to address this are going to be pretty limited. This is a Next Experience workspace, meaning the things on screen are encoded as NodeJS components. If you, or a Dev you work with, has experience with NodeJS and Node Packet Manager, they could have a look at the page, and see if you could enable the widget to process other task types, like features. That's not going to be a simple ask, though.
Your best approach is likely to be posting this as an Idea on ServiceNow's own Ideas page, and updating this post with the link so we can all up-vote it (https://support.servicenow.com/ideas)
This page is still growing and evolving with improvements every release, so attempting to customise it now is unlikely to be a good long-term investment, but if this has more value to you than I'm estimating, please feel free to reach out to me directly.
