Characterising clinically-relevant vascular features, such as vessel density and fractal dimension, can benefit biomarker discovery and disease diagnosis for both ophthalmic and systemic diseases. In this work, we explicitly encode vascular features into an end-to-end loss function for multi-class vessel segmentation, categorising pixels into artery, vein, uncertain pixels, and background. This clinically-relevant feature optimised loss function (CF-Loss) regulates networks to segment accurate multi-class vessel maps that produce precise vascular features. Our experiments first verify that CF-Loss significantly improves both multi-class vessel segmentation and vascular feature estimation, with two standard segmentation networks, on three publicly available datasets. We reveal that pixel-based segmentation performance is not always positively correlated with accuracy of vascular features, thus highlighting the importance of optimising vascular features directly via CF-Loss. Finally, we show that improved vascular features from CF-Loss, as biomarkers, can yield quantitative improvements in the prediction of ischaemic stroke, a real-world clinical downstream task. The code is available at https://github.com/rmaphoh/feature-loss.