Run wp_kses_decode_entities on atom feed?

Alright there! The do_feed_atom filter should be an action hook where you add the filters:

// add our filters when we're in atom feed context
add_action('do_feed_atom', 'add_decode_feed_entities_filters', 9);    

function add_decode_feed_entities_filters() {
    add_filter('the_content_feed', 'decode_feed_entities');
    add_filter('the_excerpt_rss', 'decode_feed_entities');
}

function decode_feed_entities($content) {
    return wp_kses_decode_entities($content); 
}

Have a look in wp-includes/default-filters.php from line 162 (in wp3.4.1) for all the filters you might need to add decoding to.

Alternatively you could have used the is_feed('atom') conditional:

function decode_feed_entities( $content ) {
    if ( is_feed( 'atom' ) )
        return wp_kses_decode_entities( $content ); 
    return $content;
}