@Chip Bennett - So I gave it a shot last night and as it turns out, I can create category RSS feeds which do not automatically redirect to the Feedburner plugin. So that is great news as I've sent Ozh my WordPress.org category feed and he has added it to his planet WordPress roundup.

Weird though as I would have thought that since users can subscribe to that RSS feed, it should redirect to the Feedburner account. Since it doesn't, I wonder if it's broken.