I think it needs some improved visibility. How about a little callout number in a circle (like on a lot of OSX dock icons) that appears on top of your account name link in the right of the main menu bar that shows you how many posts those you follow have made since you were last on the site? And then a matching number on the "Your News Feed" link in the drop down?
I wouldn't add them into Alerts, there's plenty happening there already, but I do think that there needs to be something that makes it more intuitive and calls out to the member that something has happened with the folks they have specifically expressed interest in.
Might be clearer to rename it from "Your News Feed" which seems to imply that it was a stream of things that YOU have done, to something more like "Activity You're Following" it's hard to keep it to just 3 words to fit into the same general space . The point is, the way it's currently setup isn't nearly as intuitive (IMO) as the rest of XF. I love the feature! But I followed a bunch of people and then had no idea WHAT following them accomplished, when I went looking I found the link for "People You Follow" but that was just a dead end link to a list of them, no activity stream.
Maybe "People You Follow" and "Your News Feed" need to be cross linked or merged? Show the icons of those you follow on top and the activity stream below? It'd be great to be able to click on the icons to select those members who's activity you want to see at the moment.
Just brainstorming here... Point is, I think it could be a lot better if it was more clear and had some more visibility.