First it didn’t, what surprise 😉
Update / 2010-06-23 17:00:
Works now.
I actually first tried that through “Import an External Blog“, and you can only name there a single one. But they seem to reject that because of some details in the XML, that they don’t like 😉
But you can always use NetworkedBlogs for more letting other streams like blogs and whatever RSS feeds flow into “your” Facebook (wall).