Could you provide more information about :
What version of sitefinity you are using ?
What pipes do you have in the Publishing Point ?
Did you make some specific changes like mappings or something else in the publishing point settings ?
With the next release you will be able to filter the items by tags or categories.
4. I do not understand "Page where this content is published." What does this do?
This is the page where your content is displayed. Based on the selected page when the RSS is generated the rss items's urls will point to that page.
What is the
the Telerik team
Do you want to have your say in the Sitefinity development roadmap? Do you want to know when a feature you requested is added or when a bug fixed? Explore the Telerik Public Issue Tracking
system and vote to affect the priority of the items