It works. What you see is expected behavior because you initially create commit to the feature branch, and only after that pull request is being created.
After commit to the feature branch is created, push webhook is being immediately
fired and AppVeyor do not see if PR is created from that branch, because it is still not actually created. This sequence is true even if you use Create a new branch for this commit and start a pull request. in GutHub. All subsequent commits to that branch will be silenced until PR merged or closed.
If you do not need builds for even initial commit to the feature branch, you can use branch filtering or uncheck Push in AppVeyor webhook settings on GitHub.