WordPress Stripping Colons?

No idea why your colons are getting stripped out. Your original code, or @EAMann’s answer, should both work unless you have some very strange filter going on.

But using built-in functions to get permalinks should make your life easier in general than trying to concatenate them yourself. Try this:

<a href="https://wordpress.stackexchange.com/questions/34822/<?php echo get_author_posts_url( $curauth->ID ); ?>feed/">My RSS Feed</a>

… that is, assuming that $curauth is the user object as returned by one of the get_user*, get_author*, or get_currentuserinfo() functions.