That's normal for such a high-gain setting. I tried your settings on my Express 5:25+ with a Les Paul-like guitar and got instant feedback. Try muting strings you don't want to ring with one or both hands, and roll your guitar volume off if you need to let go of the strings. Getting farther from the amp and/or facing away from it may reduce feedback too. You can also just turn down the gain. There's so much gain available on Burn that you might be happy with it less than full-up.
I have a semi-hollow guitar that feeds back like crazy if you don't mute unwanted strings, even at more moderate gain, but because of that it also sustains forever and when you hold notes they bloom into harmonics and feedback. It took me a while to learn how to manage it at gig volume, but once I did, it's awesome!