This is the step that introduces, rather subtly and sometimes almost ignorably, human judgement into what otherwise feels like a very automated and "it's just math" system.
Let's take audio. What features will you select from it to make your N-dimensional vector? An easy answer might appear to be "as many as possible". However, your first problem is that you may not have access to feature characterization even for just the features you can trivially name. Your second problem is that without deep knowledge of the domain, you may not even be aware of potential features that you should probably be using. Your third problem is that even with deep knowledge of the domain, you may still be unaware of potential features that you probably should be using.
A practical example may help. Perhaps you're a fan of Reichian phase-shifting minimalist music. You (indirectly) interrogate a vector database to find music similar to a canonical piece from this genre (say, Piano Phase). The database uses many audio & music related features, including but not limited to: dominant frequency, note onset intervals, volume, frequency-distribution-based timbral characteristics, apparent root notes and scales etc etc etc.
Unfortunately for you, the feature set in the database does not include "note-to-note intervals over time is constant". Your query will manage to find things that are timbrally, harmonically, melodically and rythmically similar, but it will be by sheer good luck that any of them share the key characteristic: steady changes in the relative phase of two different (or the same) melodic lines.
This is just one example. It's not hard to cook up equivalents for visual, textual, numerical ... any data at all.
Now of course, none of this makes vector databases and feature classification useless. It does mean that when you do or do not find match patterns in a given data set, one of the early questions you need to ask yourself is whether the feature set has any strong guarantee of being complete, and if not, how it may need to be expanded.