The issue is that the RSS Feed authentication is turned on, so it would fail with anyone not passing in their user name/password in the RSS URL. To enable this for all users, you would need to turn off RSS Feed Authentication from System --> Settings --> Feeds. This is not recommended at the moment obviously since it would open it up to any user Also, at this time, there is no widget to show certain documents based on tags.
Derek was right, it's probably a problem with the basic authentication that Clearspace Internal requires by default. We've actually put a bunch of work into the feeds and widgets in general in the 1.7 release so I know that we'll support basic auth in rss widgets in that release, but in the meantime, you might be able to enter in the basic auth information in the URL like this:
Since that password will be stored in plaintext, you should probably setup a computer account, for example, on our intranet, we have an account for the polycom plugin (blogged about here: http://clearspace.jivesoftware.com/blogs/jivetalks/2007/02/15/nicks-phat-phone-plugin).