It was actually "only" IntelliSense that complained (with another weird squiggly line just under the "Windows" and the same IntelliSense error if I said Windows::Foundation::AsyncOperationWithProgressCompletedHandler<SyndicationFeed^,RetrievalProgress>
).
After completing the example it compiled without a hitch, and the squiggles went away without having to change anything.
Sorry if similar IntelliSense problems have been the topic of previous posts (haven't checked in advance because I considered it not applicable).
Case closed.