I have implemented this also in a package called Duff.jl, as the idea for Shapley Values was independently invented in the paper “Dependency aware feature selection”, by Petr Somol, Jiri Grim and Pavel Pudil, but as the name suggest, for feature selection.
In Duff.jl, I have added a hook to the statistical test if the difference between feature being present or absent is statistically significant.