It probably doesn't give all the same details that accessing with a browser does, but it's definitely a query and retrieval. If it's a local RSS reader then it'll give all the usual stuff about your IP (and therefore region, ISP, etc.); if it's, say, Google's reader, then of course that's all it'll give. But you'll still know you're getting X number of hits from Google's reader.
Most readers don't show all the ads, either, which is probably why most sites just give you the first paragraph of an article and make you click to read the rest.
I don't have ads and I hate having to open the page in a second browser, so I don't do that.
I wouldn't worry too much about denying demographic information to ad vendors -- I keep ABP and NoScript running myself. By all means, enable ads on sites that you like, and click on the ones that look interesting, but I don't think the ad servers have the RIGHT to know any more about you than what you volunteer.
(And I only keep a stats page up for the
hilarious searches.)