Hey!
Well, you definitely don’t want it there. The feed will definitely not load if you have a full URL there.
As to why it doesn’t load without it there… definitely try tweaking your settings. Make sure you have the count set and make sure all the Display Options are configured (on your Settings screen) to output the elements you want.
I can’t see all of your settings (there are a few tabs) so it is hard for me to give specific fixes, but we know that you have your App ID and Secret right, and your Facebook Page is correctly public, and the feed loads correctly since the shortcode is functioning. The widget is just another implementation of the shortcode so it sounds like it probably has a bad default somewhere, which is why I think messing with your various settings should help.
Best,
Richard