RSS Viewer web part in MOSS 2007 is very buggy when it is used to host private/authenticated feeds. In addition to the one related with AAM setting, another big problem is, it can't auto refresh private feeds (only refresh after IISRESET!). Also if you try to set up constrained delegation in order to host private feeds from a remote server, it will break for those feeds from its own server! ( the workaround is to add delegation to itself, isn't it ridiculous?)
The only problem I have seen with RSS Viewer web part in SharePoint 2010 beta2 is, when setting up delegation (in order to view feeds from a remote server), choose the option "Trust this user for delegation to any service (kerberos only)" won't work (same behavior in MOSS's RSS Viewer). You have to choose the option "Trust this user for delegation to specific services only", and then add remote services for delegation target:
References: great article by Spencer Harbar: Sharepoint 2010 and Kerberos
The only problem I have seen with RSS Viewer web part in SharePoint 2010 beta2 is, when setting up delegation (in order to view feeds from a remote server), choose the option "Trust this user for delegation to any service (kerberos only)" won't work (