You don't need the feather fall cape to explore the mistlands at all, unlocking it did not increase accessibility. Jumping off mountains is awesome but enemies generally spawn in the valleys not in the peaks so nothing should be launching you off them (unlike in the mountain biome where golems potentially could). You can 100% traverse down all the mountains in the mistlands without taking notable fall damage, just walk against the slope on the descent and look for areas that are at least marginally sloped (most areas are just barely sloped enough so that you can sprint jump up them, and thus safely slide down).