If instead of putting the must_not inside your nested query, you put the nested query inside of a must_not, it should work:
POST players/players/_search
{
"query": {
"bool": {
"must_not": [
{
"nested": {
"path": "features",
"query": {
"exists": {
"field": "features"
}
}
}
}
]
}
}
}