This feed seems to work fine.
RSS feed items are displayed directly on pictures, so you won't be able to see them in video or Flash. With picture screensavers you will most likely start seeing the RSS news with the 2nd picture, not the 1st one, because it takes a little time to download and process RSS feed.
You could send us the project file (Save As -> complete project -> .zip) via http://www.blumentals.net/support/wizard.php
and we'll take a look and see what's wrong and let you know how to fix it.