I debunked this months ago here on Hacker News: http://news.ycombinator.com/item?id=4215474

Here's more info: http://support.google.com/feedburner/answer/79590?hl=en

The short version is that FeedBurner has a free feature called MyBrand which serves your feeds from a CNAME of your own domain. Then if you choose to leave FeedBurner, you still have full control of your feeds and permalinks. I set it up on my own domain years ago as feeds.mattcutts.com, for example.

I think this free feature of FeedBurner is one that everyone should use so that you keep feeds under your own control and served off your own domain.