Can PC-DMIS make a feature that we can measure in a step-file like the way it can in a CAD-program? It can be usefull that you can measure geometry in the step-file before you start a routine

You already can? Create your features using autofeatures or program mode just like you would with a "normal" program. All measurements will be according to the coordinate system in the CAD and thus nominal.

(With a disclaimer that I might not have understood the question.)

Maybe a CAD measurement tool inside PC-Dmis. This would be great for start.

PC DMIS has a limited CAD measurement tool that can provide XYZ IJK for a point.  

To access it:

Press Control + W.  The Probe Readouts display will appear.

Right Click on the Probe Readouts display and a Setup button will appear.

Click on the Setup Button and the Probe Readouts Setup dialog appears.

In the lower left corner of the Probe Readouts Setup there are radio buttons in a group called Screen Counters.

Click on the Show CAD and Show Part check boxes and press OK

Now when your cursor goes over the CAD model, your XYZ IJK values appear in the Probe Readouts.

You can change the number of digits displayed by going to EDIT\ Preferences\ Setup options\  Dimension Tab.

Down at the bottom you can select the number of digits you the probe readouts to display.   NOTE that this also affects the number of digits displayed in the Edit window and the Report.