A feature store is just a set of features stored somewhere or with the instructions how to compute them. The benefit is that you can easily add new computed features to the store by telling it how it is computed, and then that new feature just works like any other feature. This lets you create a lot of reusable features and signals just by adding the code without touching the data. So you can do code review, add documentation to them and spread the knowledge hose these signals works throughout the organization.

I'm not sure how this relates to OLAP cubes since I am not aware of that term.