Gmady,
If you imagine your propeller disc the same as your rotor disc, you can think of a windmilling propeller the same as the rotor disc in autofeather. When a propeller is windmilling, it is being driven by the airflow through it, and as such, is absorbing energy...drag. Same in auto rotation. You descen with the collective lowered, encouraging airflow to maintain rotor RPM...the rotor is absorbing energy, and creating an enormous amount of drag in the process. In a helicopter in a descent, this is desirable, it's the lift and associated induced drag that's created which prevents you from hitting the ground.
In the case of the propeller if the engine has failed, then the drag is of no benefit. In a multi engine airplane, it can produce substantial yawing as it creates more drag on one side of the airplane than the other, and the result is that a lot of drag is created by either the airplane being yawed (more of the side of the airplane exposed to the slipstream), or control deflection used to compensate for the assymetric drag, or both. In any event, less excess thrust is available from the remaining engines because much or all of it is being used to account for the extra drag of the failed engine.
The propeller is feathered by aligning the blades with the slipstream to minimize drag. Some engines will autofeather...go to feather on their own when oil pressure is lost, others won't. Some use autofeather systems that not only feather the engine, but ensure the others won't follow or feather, for takeoff or sometimes landing. Some engines, as others have mentioned, feather on shutdown on the ground. The free turbine engines such as the PT6A do this. Other engines such as the T76/TPE331 will feather if you let them, but are required to be placed into reverse and locked out of feather before being shut down.
The reason for the latter type of engine not being feathered on shutdown is to make engine starts easier. A feathered blade, if being driven directly by the engine, produces a lot of drag, and therefore resistance, which means the engine doesn't turn as fast as quickly, and therefore experiences less airflow during the start...and starts hotter. by ensuring the propeller isn't feathered when it's shut down, it's not feathered during start-up...the engine can spin up faster because there is less drag from the propeller, and it starts cooler.
An engine such as the PT6 doesn't actually turn the propeller. It's just a gas generator which uses it's end product exhaust gasses to blow across the power turbine attached to the propeller gear box. The engine isn't turning the propeller, only it's exhaust gasses are, and there is no need to prevent the airplane from going into feather on shutdown. It goes into feather, and comes back out, with changes in oil pressure...which is a good thing. In the case of these types of engines, attempting to move the propeller controls to the reverse position will damage the linkages...they can't be operated in the same manner as the turboshaft engines mentioned above (TPE331,etc).
The C-130 T-56 and later engines and propellers are a slightly different breed in their mechanical operation...they're some of the most complex engines built, mechanically. Operationally they're fairly straight forward, but a slightly different approach and mindset.
Another function similiar to feather on these engines is NTS, which is negative torque sensing. This moves a propeller toward feather, but doesn't actually feather it, when the engine senses that the propeller isn't under a load. If a propeller attmpts to overspeed under normal circumstances, a propeller governor will increase blade angle, which increases drag and load, and prevents the propeller from going faster. This is similiar to what the negative torque sensing unit does, except that it's not responding to engine speed, but to the actual shaft torque to the propeller. If torque drops, such as a time when the engine isn't giving enough power or the slipstream is driving the engine instead of the prop, the NTS system increases blade angle toward feather to load the propeller and keep positive torque on the system.
As the propeller moves toward feather, the drag that would be absorbed by a windmilling pressure is relieved, and drag decreases. NTS helps relieve drag and load the propeller shaft normally...restore positive torque. It is filling a feathering function, though it isnt' feathering the propeller. Think of it as a device that automatically raises the collective for you when you have an engine failure in a helicopter...the difference is that in the airplane you want the blade mroe aligned with the slipstream, and in the helicopter you're going for just the opposite. Both enhance performance in their respective platforms, just from different sides of the fence. Hope that wasn't too confusing.