I'm sure this has been griped about to no end, but I want to add my voice to those calling for theme authors to do away with the feed: protocol entirely. The bottom line is that it doesn't work as expected for the vast majority of web users.
Users of web-based aggregators (which are growing in popularity) have to copy the feed URL to subscribe to it, and having feed: in the URL breaks it. I don't see why users of desktop aggregators can't just copy the URL like the rest of us, instead of insisting on a protocol-within-a-protocol.
Food for thought: Direct links to the iTunes Music Store, which use the http: protocol, but go through that phobos.apple.com stuff to open up iTunes on the user's computer. That makes more sense to me than embedding a foreign protocol within a hyperlink.
@Beel: I think the widespread uselessness of mailto: links for webmail users (unless they have Firefox extensions to deal with them) illustrates this point perfectly. It would be easy to just copy the email address to my clipboard, but I always had to delete the mailto: part (though now I use WebMail Compose). We shouldn't repeat the same mistake for RSS feeds.
We don't need more protocols - everything is becoming more browser-based anyway.