It seems to me that both the forms are used but I don't know if they have the same meaning or not.
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There is no rule here, but "mixed feelings about" is far and away the most commonly used expression. Check out this google ngram graph for the following four constructions using "mixed feelings + preposition":
While all four constructions register in google's library, "mixed feelings about" is the one most people will recognize. As for differences between the two examples you've provided, I can see no clear distinction. Furthermore, if you use "mixed feelings" with another preposition, chances are people will understand that you mean "mixed feelings about."
I use ''mixed feelings about something'' because it tells me that I am have feelings for something. ''On'' would be better used if you were saying ''mixed feelings on the topic of -something-''. Mostly I prefer about for the way it sounds. It just sounds better.