Lets say I\'ve created a new feature with git flow feature start FEATURENAME
then published it with git flow feature publish FEATURENAME
Sounds like you are using git flow feature pull, where you should be using git flow feature track, since that does create a local branch that tracks the remote.
I can't really think of why I'd ever use git flow feature pull. It creates a local branch with no tracking set up on it, and I don't know why that would be useful! It's also badly named, since a pull should involve a merge, and this does not.