I didn't find the solution suggested here very useful, so I did a bit of exploring elsewhere on this site. Normally an RSS feed shows an up arrow to the right of the name. Clicking on it causes the feed's messages to go to your Inbox rather than the RSS folder. If, as I did, you accidentally click on the arrow it goes away, giving you no obvious way to go back to the original setting.
To stop the messages from going to your Inbox, Control-click on the RSS folder in question. In the pop-out menu that appears you can uncheck the option to "show in inbox" and voilรก!
I learn something every day here...