"Hello, the house!" Felicity shouts to Karen as she leaps off her horse, triumphantly announcing that she'd brought dinner. She's just killed a gazelle and it's strapped to the back of her horse.
This one's a wild child, and like Karen, she's likely out here because the silent wife routine just isn't going to fly with her.
Karen takes her under her wing, we suspect, because of that. Felicity's the first person in town to address Karen's lack of practical style: a brash, awkward young lady with no filter between her brain and her mouth. There's something to admire in that, and Karen's probably got something of the same gumption in her.
That brashness comes out again when she arrives at the house to talk about the war, only to get down to brass tacks about why she's really there.
FELICITY: You've been round and about. Someday, I'd like to run my own show the way you do.
KAREN: Is that what I do?
FELICITY: You don't seem to need us much. Baroness, may I ask you something? I don't know much about men. I want them to like me, but I…I want to be let alone too. I'm supposed to want to be taken, aren't I? I've got this book. But how do you know when to do what they want you to...and when not to?
KAREN: I suppose you ought to call me Karen.
Besties forever, right?
Yeah, here in our brave new world where you can learn more than you ever wanted to know about it just by typing naughty words into the Google, we forget that sex used to be a pretty forbidden topic.
In the early 20th century, the average person had no one to talk to about sex—and certainly not so candidly. Felicity's questions are an excellent way to show Karen in a more sensual light: to remind us that she can bring the sexy, too, and more importantly, to show us that she's liberated for the time.
That's pretty much why Felicity's here: the moon to Karen's sun, reflecting the light and reminding us what it meant to be a self-assured woman in the 20th century.
Incidentally, Felicity is an entirely fabricated character for the film. Karen did have a young friend, about fifteen years younger, named Beryl Markham, but the filmmakers didn't have the rights to tell her story. (She was the first woman to fly east to west across the Atlantic Ocean).
She wrote a memoir of her own, West with the Night, so she could make her way around a writing desk, just like Karen. She was also another lover of Denys', and some people suspect that Denys was going to see her when he crashed his plane.