Modern Feature Selection Review/Resources
I looked into it quite recently and found these papers: 


Saeys et al. (2007)  (also already a bit dated, but a good overview, and I think the 'key' paper in this area). 
Dougherty et al. (2009)  (interesting paper discussing various difficulties such as classifier dependence, label distribution and sample size). 
Bolòn-Canedo et al. (2014) . 
Dessì &amp; Pes (2015). 


However, I do agree with you that there is a need for an updated review regarding this topic.