In my experience there's no work item that makes a good proxy for a PI Objective, but one method that I've seen used is to either create a custom field in the Release object in Agile Central to hold Objectives or to use the Theme or Notes fields. If you wanted to reference specific features in the objectives then you could simply list or hyperlink them here.
There's a potential "gotcha" in this approach depending on project hierarchy because what looks like one Release could actually be many releases with the same name and dates, so you'd have to decide where to store your Objectives in terms of project hierarchy. Alternately you could just document your objectives in the company wiki or other document repository and link to it from every Release.
Lots of options, none of them perfect but many good so I hope that helps.