Max will pick at wing feathers that need to come out... he does not over preen or pluck otherwise, just a few wing feathers, not sure if like Jennifer mentioned it's a means of creating a rougher edge for preening and scratching, but our vet has never been concerned, he's not pulling them out and she said he'll drop them when they are ready to come out.
Max will also play with feathers if he drops one and can get his beak on it, I found him scratching his head with one just a week ago! Tried to get a photo, but he was sitting up on the top of the shower and you could not tell what he was doing.