I'm using DNNv04.05.05 on a test workstation using SQL2005, IIS, and I'm not seeing the issue. Using the link you provided, setup a news module, with the default DNN xsl. The newsfeeds displays as expected. I've seen this particular error due to several different reasons. I'll list just a couple, so you can check them out.
1) Top reasons - Code Access Security issues or Host support for http requests. This really relates to how ASP.Net v2.0 handles security for a host environment. You'll need to confirm with your host if there are any issues in that regard, if you are remote hosted. If you are using a test workstation, hosting DNN with local tools, then you may need to tweak your CAS settings to allow the needed level of security. Usually, you would receive a different type of error something along the lines:
News Feed Is Not Available At This Time. Error message:Request for the permission of type 'System.Net.WebPermission, System, Version=2.0.0.0, Culture=neutral, PublicKeyToken=b77a5c561934e089' failed.
or the error you mention. The error displayed usually varies by what account is currently logged on (HOST, ADMIN, User). Best to review the CAS documentation that Cathal wrote some time back. It's available in the downloads area of DNN.
2) Newsfeed RSS version support. By default, the current version of the Newsfeeds (RSS) module support xsl transformation for the very basic RSS v0.91, which is very old, but useful. However, RSS newsfeeds sources are expanding their usage of custom namespaces, and use a variety of RSS versions to provide the news. If a newsfeed source contains HTML, there may be errors thrown, or the feed will not translate as expected. Other types of rss versions such as v1.0, and v2.0 may not work at all depending on the tags provided in the newsfeed source. It's helpful to inspect the newsfeed source to determine which version RSS is being used, and exactly what namespaces are needed to convert the information within custom tags to display.
Those are the most typical reasons for the error. Review your setup, and the doc mentioned. I looked at the example link you provided, and see that it is an RSSv2.0 feed, but will display simply using the basic default DNNv091.xsl translation. Let me know how it goes, and we can follow up.