I use a localhost setup for development using XAMPP where I try out plugins and do the CSS I want to change on my blogs.
I tried out RSSImport and it worked great - used the short code in a text widget since I wanted to add more than one feed in single widget box.
Moved it over to my production site - uses same setup theme and css as development and the shortcode didn't work. Just showed the text of RSSImport with the options as text
Weird - have no idea why that is doing that.
I found a solution and it only takes one line of code in the functions.php file (from: http://digwp.com/2010/03/shortcodes-in-widgets/ )
Now the RSSImport shortcode works as it did under XAMMP