Yes, you've got the basic idea correct.  When you paste that URL for use in the NewsFeeds (RSS) module, it should become available for transformation using the default dnnv091.xsl file.   The syndication items are managed in the DNN Search mechanism, and items marked for syndication are cached to improve system performance, with some security benefits, too.  There are some other setup considerations.  Options available in the HOST administration tab options, Schedule, and Search Admin need to be used to facilitate getting syndication items refreshed. 

Depending on your need, you would use the HOST administration tab option Schedule to configure the scheduled time interval for when to refresh the cache.  Then, items would show up based on those settings. Now, that's the way it's supposed to work.  The refresh of the cache is supposed to happen according the settings in the Schedule, but you can force the issue by using the Search Admin option 're-index Content'. 

Many find that there are issues with this type of approach, and the whole process is being re-thought, from the last info I heard in the forums.  In my setups, I opt to refresh the cache every 20 minutes due to the pattern of updates the site experiences, but you would have to tweak the settings to your specific need.  In testings, I've used settings to refresh every 2 minutes because - I'm testing and don't want to wait too long to see the updates.  Then, when the testing is done, I'll set the values back to whatever I need for normal use.

Often, I may just use the Search Admin option to reindex Content.  Although, I've seen delays even with that approach, which is why folks reports the same type of issues you are experiencing.  Hope that helps somewhat.

Cheers