Gonzo simply means acknowleging the presense of the camera in the room. Breaking the fourth wall. That's it. Period.

In a regular movie, the performers react only to each other onscreen. The camera is a silent "secret" observer. In gonzo, the performers interact directly with the cameraman/director.

Wall to wall, vignette, and compilations are sometimes marketed as gonzo, but are just other categories.
Feature refers to a title that has one script running throughout the entire film. All the scenes relate to each other to create a whole story. You could easily have a gonzo feature. This would be a movie with a uniting story or premise that continues through all the sex scenes and dialog scenes, yet the performers interact directly with the camera/viewer. I think some of the Shane's World stuff fits this classification.