tuffy: Your widget is displaying properly. The orange icon links to the feed and the text links to the blog.
Because your posts are already there on the page, most folks don’t enter their own blog’s feed in that widget. Instead, you can use it to display feeds from other blogs or services. Anything that is published as RSS can theoretically be syndicated in your widget.
That’s why you have the option of creating as many as nine RSS widgets. Have fun!