Uhm I am no expert and maybe this is completely of the mark but I’m pretty sure it’s really down to the theme. Go to the “Presentation” part of the administration, click “Theme Editor” and check the file which will most probably be called “Sidebar”. Somewhere in there should be a reference to your rss feed. Mine looks like this:
<a href="<?php bloginfo('rss2_url'); ?>" title="<?php _e('Syndicate this site using RSS'); ?>"><?php _e('<abbr title="Really Simple Syndication">RSS</abbr>'); ?></a>
In case the php refers to the comments instead it would look something like this:
<a href="<?php bloginfo('comments_rss2_url'); ?>" title="<?php _e('The latest comments to all posts in RSS'); ?>"><?php _e('Comments <abbr title="Really Simple Syndication">RSS</abbr>'); ?></a>?
Basically you should simply be able to copy-paste the one you want into the sidebar file and remember to hit the ‘update’ button at the bottom of the screen.