Need to bug again for feedburner test. I have few more fuel to test this feed to feedburner redirect. After that I will think what to do to solve this problem - problem of redirecting every kind of WordPress feed (including Category and tag feed) to Feedburner.
But, I can show you Feedburner also has a bug and it comes possibly with Recursive feed redirection error:
Ads are also going into recursive mode, but why? When only redirect is not working!
If the solution I have tried now for feed redirect does not work then I will stop experimenting for the time being.