I think you are mixing up things since Bayesian networks, feature selection and markov blanket are interrelated but very things. I guess you are asking about using markov blanket to do feauture selection in a Bayesian network. I dont know about any implementation in Matlab, but if you read about the concept, you will see that any sofware that allows to search for the graph of a BN can be used:
http://en.wikipedia.org/wiki/Markov_blanket
I would recommend you also the following article about different feature selection methods:
The Markov Blanket is like causality testing. So as far as the series are equal length a number of pattern based or distance based techniques are provided in hClust, tsClust and dtwclust packages in R. As, i am applying these in life science and did in meta- genomics, so didn't try the rough sets.
P-value based Markov Blanket is also possible by changing the model based comparison in dtwClust and modified with auto.arima in tsClust to accommodate non-linear models.