Hi Jeppe,
We have a section on our web site where we post replays of all of the on-line webinars that we create and there are a couple that focus on using BCC and RED in Avid MC hosted by Jeff Grenberg that you might want to take a look at. Jeff shows how to use the 3 Way color Grade filter in at least one of these webinars - try the one labelled Professional Compositing and Titles in Avid Media Composer. You can check them out here:
http://www.borisfx.com/webinar/
Regarding the mask feathering question ... if you use any of the built-in masks in the 3 Way Color Grade filter, you can use the built-in feather function in the mask controls group to generate as soft of an edge as you like. Then there is also the key mode, which can be used to isolate pixels in the image based on their HSL values. We're working on adding support for a custom spline option but if you need that right now you can do a bit of compositing to generate alpha and isolate pixels for color grading - it's more work but you can still get the job done within RED.
Cheers,
Peter.