I noticed this last year as well. I wasn't sure if it was intentional so that the integrals would just ignore infinities in the limits (as if they were some UV or IR divergence that would be regulated away by counterterms). Basically I have to do:
Integrate[F[x],{x,0,1}, GenerateConditions-> True]
for every integral I do that I think might diverge. Though this also forces me to make a LOT of assumptions about the variables being used, but its not that bad.
You could probably just set
Options[Integrate,GenerateConditions-> True]
right after you call feyncalc.
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