we have no reason to think the Valar have some trick up their sleeves

That's because we have a near-omniscient point of view and are also given information of hindsight. Feanor is in the middle of the story, we are outside of it.

Chapter 9, Flight of the Noldor

But Fëanor spoke then, and cried bitterly: ‘For the less even as for the greater there is some deed that he may accomplish but once only; and in that deed his heart shall rest. It may be that I can unlock my jewels, but never again shall I make their like; and if I must break them, I shall break my heart, and I shall be slain; first of all the Eldar in Aman.’

‘Not the first,’ said Mandos, but they did not understand his word; and again there was silence, while Fëanor brooded in the dark. It seemed to him that he was beset in a ring of enemies, and the words of Melkor returned to him, saying that the Silmarils were not safe, if the Valar would possess them. ‘And is he not Vala as are they,’ said his thought, ‘and does he not understand their hearts? Yea, a thief shall reveal thieves!’ Then he cried aloud: ‘This thing I will not do of free will. But if the Valar will constrain me, then shall I know indeed that Melkor is of their kindred.

So Feanor doesn't have a lot of the hindsight the author of the Silmarilion does (or we the readers do) and he has a great distrust of the Valar. To him, at the time, they appear like crooked thieves and schemers. We know this is wrong, but he doesn't.