No, feminised seeds come from hermaphrodites. A common misconception is that this means the seeds have a higher chance of growing into hermies themselves. But if the parent plant was induced to become both sexes by fuxxing with the light cycle or another method, then as long as the parent was not genetically inclined to be hermaphroditic in the first place, it should not be a trait that is passed on to it's offspring.
When you say a feminised plant, I assume you mean grown from a feminised seed, right? In which case it is just as worthwhile to pollinate that as any regular female plant.
That doesn't mean that you will get good seeds from it, in fact if you cross it with another plant then a lot of the seeds you get could well be shite. It takes several generations of selective breeding and back-crossing to produce a genetically stable strain. There's no harm in giving it a go, but plant as many seeds as you can and pick the best ones out or you might be disappointed with the results.