This work provides a theoretical analysis framework for features that belong to the high dimensional Riemannian manifold of symmetric positive definite matrices. In non-invasive EEG-based Brain Computer Interfaces, such as the P300 speller, these are sample covariance matrices of the epoched EEG signal that are classified into two classes. An analysis of the class shape on the manifold is performed, and the separability level of the two classes is evaluated. The main contribution is the Separability Marker (SM)-confidence method, a method that appends a confidence marker to the prediction of a binary classifier whose decision function is based on the comparison of Riemannian distances.