My RSS Feed Link… which is it?

The first one will work if you have “pretty” permalinks enabled.

If you’re using default permalinks, then your RSS link will be one of these instead:
http://www.mysite.com/wp/?feed=rss2
http://www.mysite.com/wp/index.php?feed=rss2

You should never, ever, use the direct link to wp-rss2.php as the feed link. It will work, but it is incorrect to use it like that, because it doesn’t pass through the normal WordPress mechanisms and so might have issues.