It kind of sounds like you're giving the OPML to it as a feed instead of importing it? OPML isn't a feed itself, it's a collection of feeds that most readers can import and export. If you want the auth=digest version of the OPML file, use this one--it might work to have an authenticated version of the feed that will give you protected entries you have access to.

I think NNW should be able to import OPML--maybe look around in the menus or something?