It seems like it is not possible to get an embedded video to display in your rss feed if you use any kind of visual editor.
Check this thread:
http://wordpress.org/support/topic/93891?replies=32
Could this be solved with an extra button in Xinha4WP that opens a window where you paste in the code for the video? At least it would be good to have a note displayed in the feed that tells people to open the post in a browser to view the video.
I left the support checkmark on because this is something that "breaks" something that would be there with the coding editor. And hope that this will make it on the list of new things that should be done as soon as possible :-)
BTW - does anyone read the posts here?