Yes, most of RSS clients are not able to use credentials. It is working as supposed to be. In some cases, with a NTLM or Kerberos SSO configured (windows login based), this will be transparent as you wish.
When configuring NTLM SSO, did you use the same user in Windows desktop than in Alfresco application ? Is SSO working for your logged user ? Did you configure your browser(s) to trust in alfresco uri's ?
Did you check alfresco-feed configuration in share-config-custom.xml ?