In general, connectionsData from the social business toolkit seems to work fine (communities/activities/files work fine), however when accessing any feed from the blogs section, we get the following:

The declaration for the entity "HTML.Version" must end with '>'.

The reason I post this here, rather than to the connections people is:

There doesn't seem to be an issue with the connections feed (it validates well) but rather one with the parsing of the DTD.

http://www.validome.org/grammar/validate/?lang=en&grammarTyp=DTD&url=http://www.w3.org/TR/html4/loose.dtd

Whatever is parsing this DTD is (it seems incorrectly) giving up when it hits a comment tag

The answer in the following poses a couple of solutions, such as just not validating the DTD

http://stackoverflow.com/questions/2226819/error-accessing-w3-org-when-applying-a-xslt

Sorry I can't be more helpful, if you would like, I can post a bigger stack trace?