Is it known who created them?
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Community Icon (CC-BY-NC-SA) Tom Fischbach
https://www.deviantart.com/leachymonster/art/Official-Felkin-Species-Guide-522020670
Some guy called Leachymonster in 2015, this is literally all the official lore that they have. That said, the existing art of them has definitely grown beyond the creator's original scope, and I don't think that the 'closed species' term has ended up carrying much weight.
I suggest following lore for them:
They are a species built for traveling.
They are like the protectors of traveling people, like merchants. They roam around in the fields and help travelers in danger.
They are strong, so they can help to move a caravan from A to B and protect it from possible aggressors.
Some of them are messengers and bring news and important letters from faraway lands.
Judging from the looks, they have a common ascendant to dragons. Following from that they are mythical creatures thus they are very strong, they could have even magical powers, but they are rather rare. They have a calmer nature compared to dragons, mainly because they are herbivorous.
There are highly specialized to different terrain. This explains why they can look very different to each other.
I hope this is a good starting point.
These are all pretty reasonable ideas! I've got a solid idea of how I'm going to handle their lore within my DnD (which I can also in turn use to generate stories about some specific Felkin), and some of this aligns pretty closely or follows similar lines of logic. I'll make a new post here perhaps tomorrow to talk about my lore ideas, since the ideas are pretty expansive and I'd like to have a whole discussion on them