Quoting the fifth comment in http://www.lshift.net/blog/2005/07/15/rss-via-gnus:
I finally got it to work! The trick is to set mm-url-use-external to t so that emacs uses an external program, by default wget, to fetch the feed, rather than its built-in http support.
I couldn’t have put it better myself (except perhaps to emphasise finally), and without that comment I would still be floundering. Thank you, Matthias.