Data feeds: Cannot get schema? But it is there ...

I always am on the look out for cool applications that use data feeds. Personally I think that it is by far the most interesting new concept in data interchangeability in many years.

So I am very sensitive and want to ensure that users become knowledgeable of its 'quirks' as well. Here is a good one. Recently I had an email sent to me from a user who was reporting that Reporting Services as returning a very difficult error to understand when he used a data feed. The error is: