If the site doesn’t have a strip for a particular day then you’ll get broken links — the file doesn’t do anything clever like check the strips are available, but simply creates a new link each day. It would be possible to include <img…> tags displaying the strips themselves in news readers, but mass-grabbing the images seems a bit unfair on Doonesbury.com.
UPDATE: I forgot to update this when, some time ago, I came across an alternative RSS feed. This one includes the strips themselves, rather than just links to them. (6 August 2007)
UPDATE 2: That feed seems to have recently stopped including the strips. Even worse, it shows pop-up ads when you click through to read the strips. Right now, this RSS feed still includes the daily strips. (8 Dec 2010)