Can Features package its dependencies?
I think the latter is true, and you're misunderstanding what Features does.

Features takes any database-stored configuration (Views for example), and exports it to code.  The generated module is essentially just a package that then contains the code version of your configuration.  

For example, if you create a Feature containing a Blog content type, and a View that show all Blog articles in a list - the generated Feature is simply a module with that configuration stored in code, and exposed to Drupal.

If you want all of the modules packaged, you are looking more towards a distribution - which is a completely different kettle of fish.

To cut a long answer short, Features is a module builder - so as with any other module, dependencies must be retrieved seperately.