That's because Internet Explorer 8's feed reader capabilities are no better than IE 7's. In other words, absolutely lousy.
Of course Firefox is little better and there are really no good Windows desktop feed readers left, so IE's not alone. Still, if you're hoping for reader improvements over IE 7 look elsewhere.
Opera has a mail integrated reader, which is unfortunate since feeds are structurally different from email. Safari 4beta for OS X has a feed reader, but the link to subscribe via bookmark doesn't work (the first thing I've found in Safari 4 that doesn't work). It looks like it's setup for subscription in Mail.app anyway.
Gee, do you think someone's trying to tell me something?