Would I be better off to take the first turn and feat first?
Hmm, it's tricky against Kaelyssa, but I would still opt to go first, so you can at least run to him on his feat turn. Against anything else, since the change to the Coven's feat, it is more important than ever to go first and feat as soon as possible, because as soon as your opponent is within walking threat, it doesn't do anything anymore. The Bane Riders being able to start he piece trade first is also very useful.
Against Kaelyssa, it's impossible not to lose your key pieces, you basically have to power through and being able to feat first should help this.