Turns out R81.20 Network Feed objects only partially support VSX. Specifically, when you make a Network Feed object which uses HTTPS, you must test the feed to get the certificate to trust it. It's not possible to test the object from VSX firewalls or from VSs on them, so if you only have VSs available, you can't test it. The VS will fetch the URL in the object as expected, but it won't actually work because it doesn't trust the cert.
I have a management which only has VSX firewalls reporting to it. Went to a fair amount of trouble to of upgrade to R81.20 because we want to use Network Feed objects, and now we find out we can't. Deeply irritating.