Sorry to disappoint but I have played around with making brushes with feathering and it just doesn't work. It would be wonderful if it did. you also can't apply live effects to an object and create a brush the live effects are just ignored.

What you can do is to use a mix transparency in flat, linear, circular or ellpitcal to create a brush with soft edges. I know some of us have been asking for years for Xara to pay some attention to brushes and so far they haven't listened.