It's a bug, you can solve it, in the module helper.php file change line 33 from
$layout->itemPath = JModuleHelper::getLayoutPath('mod_cobalt_featureditems', 'items/'.$layout->itemName);
to
$layout->itemPath = JModuleHelper::getLayoutPath('mod_cobalt_featureditems_carousel', 'items/'.$layout->itemName);
Now you have brought this to our attention we will make a new release to fix this.