I've verified that my Feedburner main feed and comment feed are functioning properly. This plugin redirects the main feed successfully but fails to redirect the comment feed to Feedburner.
I confirmed this by putting my Feedburner comment URL into the Main feed text box. In this case then clicking the main feed link successfully directed to the Feedburner Comment Feed. I then tried placing my Feedburner main feed URL into the comment feed text box and in this instance clicking the comment link did not redirect to the Feedburner URL. In summary I confirmed that the issue is not with Feedburner.
This behavior occurs with both the original WordPress default RSS widget and also the Jetpack RSS widget.