Yes, that is basically what they do in that example.
They have some Xml and transform it with Xslt server-side, which then writes the RSS formatted output. This is the output read by any type clients connecting to that server, and is available for RSS clients to subscribe to.
A direct client-side transformation of the same would not work for an RSS client to subscribe, since RSS clients reads the available Xml content as raw data without applying any Xslt stylesheet transformations.
Since that server-side example actually is outputting Xml, they write the Xml tags out in plain with no need to escape the opening tag marks. As the difference described above, this is only possible when doing the converting process dynamically server-side (per-request).