I had a Welsummer roo with a few feathers on his legs. According to the answer I got over in the Breeds, Genetics and Showings section, it does happen. Apparently feathered legs "lurk" in some Welsummer genetics. But it definitely isn't breed standard. My guy was from Estes Hatchery in Springfield if that helps.
Feathered shanks on Wellies is bad, bad, bad. They should never be used for breeding, as feathered shanks is a dominant trait. Some people do have issues with feather stubs in their wellies, but cull them.