It is working correctly. The link has a guid in the query string that changes periodically whenever the app pool recycles (which happens at least once per day in most installations). If the guid in the url matches the current version of the guid then it does not redirect to feedburner. This is because we want people to subscribe to the real feed url not the feedburner url that way if we ever decide not to use feedburner we don't lose any subscribers. Once the guid no longer matches the current guid generated at application start event it will redirect to feedburner so the user will get the feedburner feed after that. It also does not redirect when feedburner bot user agent is reading the feed.
It works exactly the same with the blog when using feedburner.
Hope that helps,