The issue here is that the EE example feed encloses the title between CDATA tags, which instructs the feed reader to ignore any entities in that text and output it exactly as is.
The solution to this is to replace this:
Note that there are two places to do this if you're starting from the example feed. Also note that the "Agile Records" example feed does use the correct method, and it appears that the use of CDATA in the documentation example is an error.
Here's the forum post where I found this info: http://ellislab.com/forums/viewthread/220237/