What happens is that for most of the links, they will go to the site then then be redirected (the user will not see the site because they will be redirected before anything loads). There is one exception to this - and that is if you use the 'rewrite url' option when setting up the redirect. That makes it go to the redirect directly without going through your site.
one thing to note, is that if the theme is using the standard WordPress RSS methods, this will work perfectly fine. If the theme has it's own RSS functions that do not use the correct WordPress hooks for getting the permalinks, etc., then it will not work. The plugin only works when using the WordPress hooks - anything else and redirects will NOT happen.
Check your theme files (most likely the functions.php) and see if there is any feed redirecting or rewriting already taking place - if not, you should be fine.