This happens at least once a week: one of my feeds shows a red square with a white cross and doesn't retrieve items. Upon closer inspection, the URL is wrong, and points to a image file, css, js, or another page. I have a lot of feeds with a lot of (unread) items.
It seems to me that this must happen while updating? The only feeds that are not affected are the ones RssBandit came with? I also can't put a source to the problem, I've had it at least with Facebook, Wordpress, LiveJournal and Tumblr. One time, it lost my login information (LiveJournal feed).