Yes, they are. Ok, let’s do this step by step.
Your blog’s feed is at yoursite.com/wp-rss2.php (or yoursite.com/feed/rss2/)
Your feedburner feed is at feeds.feadburner.com/yourfeed
Since your blog links to the feed at yoursite.com/wp-rss2.php (or yoursite.com/feed/rss2/), your readers are reading the feed at yoursite.com/wp-rss2.php (or yoursite.com/feed/rss2/).
At this time, yoursite.com/wp-rss2.php (or yoursite.com/feed/rss2/) does not go to feeds.feadburner.com/yourfeed. It goes to yoursite.com/wp-rss2.php (or yoursite.com/feed/rss2/).
In order to make yoursite.com/wp-rss2.php (or yoursite.com/feed/rss2/) go to feeds.feadburner.com/yourfeed, you must modify your .htaccess file by following the instructions here:
http://forums.feedburner.com/viewtopic.php?t=17
If you do not wish to do that, you can notify your readers that your feed is also available at feeds.feadburner.com/yourfeed. Then, you must trust that your readers will all manually adjust their links and feed readers. More than likely, they won’t, as yoursite.com/wp-rss2.php (or yoursite.com/feed/rss2/) will continue to function normally.
The best method is to modify your .htaccess file by following the instructions here: http://forums.feedburner.com/viewtopic.php?t=17 as your readers do not have to do anything.
It really is all explained in the first post here:
http://forums.feedburner.com/viewtopic.php?t=17
I’ll quote it for you:
“If you’ve had a feed for any length of time, your readers are using your current feed’s URL in their news aggregators How can you painlessly migrate their requests from your old server/feed to your newly burned FeedBurner feed, so all of your syndication traffic takes advantage of our services?”