This seems to also be an issue in iTunes. None of the Feedburner/Feedproxy feeds are able to be downloaded in iTunes, however they can be streamed. For those of us with older iPod Touches, we need to be able to download them. iTunes and Winamp probably don't know how to handle not having the http or https before the URL. (Modern browsers will use whatever connection you are on - http or https - to access the URL based on where you're getting to the URL from, so if you're on a secure connection, you stay on one, and if you're not, you won't go to one.)
Feedburner would need to add these back in. I've looked all through my feed settings and there's no option to restore them.