How to identify Adafruit Feather 32u4 via mac id/UUID/etc
I'm quite sure the reason they print a mac address on a sticker and put it in the package is that they have no way of storing the address in the the feather wing, or at least don't bother to do so if there is a place to store it.

It's up to you to get that address to your Ethernet.begin() call.

FYI, I have been trying to use EEPROM to store the mac address, but the bootloader appears to blow away EEPROM with every reboot.  If I figure that one out I'll update.