For me the problem persists in the final 2.7 release. I did a clean installation of 2.7 after rc2 (which in turn was updated from 2.6.5), and none of the three feeds in the dashboard has any content (they worked pre-2.7).
The Tools->Upgrade option doesn’t seem to be able to get any information either. If I check the database, the core_update in wp_options doesn’t seem to be updated correctly, since it only contains a last_checked value, and wp_options doesn’t have any rss_options at all.
My host is running php 4.4.7 on apache 1.3.37 with mysql 4.1.22.