I have tested for a bit and for me it seems to work. Do you have any filters on the feeds ( I believe the screen shot you posted is the filters for all feeds so if you have a filter on the feed itself it won't run it ). If so try changing to settings to 'execute filters for all feeds first' ( wouldn't harm anyway).
Also you can try to check out the latest development updates. If all works well it should be more robust for URL-handling.
Thirdly maybe turn on the 'remove images from excerpt' option since excerpt and images don't work too well just yet. This will be fixed with a new release.
Last thing is that I would turn on the remove HTML filter for the feed you mentioned since it's full of ugly tables and what not.
If all fails I would be happy with more information like additional feeds, error logs, PHP /Apache versions etc so I can test more.