Referring to Section 9.4.9 of USB 3.1 specification,
1. A SetFeature() request that references a feature that cannot be set or that does not exist causes a STALL Transaction Packet to be returned in the Status stage of the request.
2. Only device feature selector values may be used when the recipient is a device.
Table 9.7 mentioned about the feature values for the targets - Device/Endpoint/Interface:
In the Bus hound trace, you have shared, wValue is 0x0000 for Device Recipient - which is not valid feature selector. So, STALL is expected.
For SET_FEATURE request, when the target is Device, and if the feature selector is not 3 or 4 (referring to above table), then the same request will be handled by SDK and the SetupCB will not be raised.
As I have mentioned in my previous post, sending SET_FEATURE request(to target - Device) with wValue - 0x0000 should be responded with STALL as per 3.1 specification.
Please let me know what changes you have made?