Trivia: I tried this today and it told me the feed did not exist, walked me through the setup, and then added me to the feed which did, in fact, already exist. So it worked, but didn't do exactly what it said on the tin.
My guess is that it was a feed that had been duplicated because there were two links that could have been used to make the feed. So, one was folded into the other and now, when you try to make a feed with the non-dominant feed link, it knows to add you to the dominant feed but the steps to make that happen aren't quite sorted out yet. The combining of feeds just happened recently.
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