Not sure what is the matter. Some setting perhpas. You said you were using the scene editor? Make sure you can see the scrolling text when you click the play button in the preview window. No sense going to the SignagePlayer when you can't see it in SignageStudio. Get it to work ther first.
I just opened a new scene, dragged into the "main" screen to add the RSS component, clicked Embedded RSS and selected Horizontal scroll. Clicked + to add a Title, typed something in and pressed the play button. I saw the scroll. It works for me.
James