Do I have to buy the Pro Features for each device?

No, you can restore your previously made purchases on any of your devices (on the same platform) for free.

Please note, however, that Mac and iPhone/iPad purchases are separate as they come from different App Stores and have different prices. On a Mac you can only restore Mac purchases, on an iPhone or iPad you can only restore purchases made on an iPhone or iPad.

Example:
If you have two Macs, you only need to buy the Mac Pro Features once. (To activate the purchase on the other Mac click the Restore Previous Purchase button)
If you also have an iPhone and iPad, you need to purchase the iPhone/iPad Pro Features separately. Here as well, you can restore a single purchase on all your iOS devices.