Ok, I've loaded DNNv4.0.9, and the versions of the modules you indicate. I setup an Annoucements modules, checked 'Allow syndicate'. Using the Host account went to the Search Admin page, and clicked the 'Re-index Content' link. Went back to the page where the Announcements module was displayed, and clicked the syndicate icon. I brought up the the newsfeed in the IE browser, and copied the URL in the address bar.
Then, I created a newsfeed module, added the link, pasting the URL I just copied. Used the Search Admin page, and reindexed content again, just to ensure it was done. The newfeed displayed without issue from the Announcements module.
I'm using a test XP Pro with current updates to the O/S, and have Ajax installed. I don't have a public site to test, but maybe you could give some setup information on your site that is having the issue. I don't see anything wrong, so I can't offer any more than the above. Sorry.