Fix set_features for every machine in LinearMulticlassMachine

I've spotted something that could be a bug. When I called set_features(NULL) on my multiclass svm to clear the data, I could still see the features in the serialized file. Looking into it led me to realize that the features remained on the different machines that were trained.
Here is output w/ and w/o my change : https://gist.github.com/van51/6522455 .
Let me know if this was intended or if it should be tackled in a different way.