Using WordPress 3.0.3
Codex refers to the 6 or so modules in the Dashboard Dashboard Subpanel:
When I configure either the 'WordPress Development Blog' or the 'Other WordPress News' modules* with an RSS feed that includes the specific category of the posts that I wish to display, all the posts display, even though rendering them directly though an HTML browser displays only those posts within the category I specify.
*for those that don't know how, simply hover your mouse over the title bar for those two modules and select the 'configure' link to change the title and RSS Feed for each module.
p.s. WordPress is awesome!