Well, I'm confused. The newsfeed module does not generate a newsfeed, but requests it, and then transforms it for presentation. Now, if your transformation is the defualt DNNv091.xsl then, then clicking on the title would result in redirecting the user to the link given in the newsfeed source. I guess, I'm wondering where you are getting the source of your newsfeed, and what xsl file is transforming it.
The error you are getting is probably due to the newer XslCompiledTransform class that was introduced in the latest versions of the XML/XSL module. See this post for some information: http://www.dotnetnuke.com/Community/Forums/tabid/795/forumid/59/threadid/121322/scope/posts/Default.aspx. I was using includes, and scripting in some xsl files w/o issue in the previous version. When I started using the new version, they broke. Stefan explained the issue rather well, and I was able to work through making changes to do away with the embedded scripts and includes. While the issue for me was more related to scripting, it may affect using other functions like includes, not entirely sure, but you might want to take a look at the discussion, and the reference sites in that post. As for why you can do this type of thing in the NewsFeeds (RSS) module, well - that module's not working the same, and has not been updated, so they are a bit different.
I think you can eventually get passed the current issue, as that's really the way RSS works, so let me know the above 2 items, and I'll see what I can do to help.
Cheers