The audits feature allow us to review the audits on changes made to API Proxy or changes made my developer etc.
This does not give me information if a policy applied to various API Proxies were updated.
do we have such feature? If so how would I use it?
Unfortunately the answer is no if your referring to changes made via the UI. The UI bundles all xml configuration and does a single update. So the audit will only ever show changes at a deployment level, not at a individual resource level.
If a policy is change via the public API the audit trail would pick up the individual edit because the audit tracks the API calls into the system.