Thoughts??? Sure... I would not want to assume you've set it up correctly, but maybe you did set up a feed, then go into the Settings of the app itself and set "Update schedule", maybe even "Update when opened" is now checked... did you do all these???
If so, then you might want to go onto your home screen > Menu > Settings > Applications > Manage applications > All tab > click on the News app > click Force stop, then Clear data > Home... then start the app again... you might have to add your feeds again, and then make sure you go into the apps settings again and be sure everything is set up correctly again.