[Matt Brennan]

I know this post is old, but I was also wondering what the best way to do this was and didn’t find many answers, so I wanted to mention another solution.

Basically you make a track matte and blur the edge and apply it to the shape.

Steps:
1. Duplicate the shape layer
2. Apply blur
3. Reduce scale
4. Set as track matte alpha for the original layer

It’s a shame you cant just apply an inside-out gradient to the stroke of a shape layer that would produce a feathered edge?