Why is my comment feed broken?

A “feed” is just another view of the site, really. If there’s no matching items, then you’ll get a 404 and an empty “view”. This view can be expressed as a “no items found” on the front end of the site, while it will be an empty feed if looking at a feed view.

Since you had no comments, the query matched nothing, resulting in a 404 header status and an empty feed (which was a correct feed and viewable if you did a view-source on it).