Trouble link pages and RSS index </li> and not <p> why please?

Hi good morning to all,

Just see an exemple of linking

this sort of link never be read in RSS
<p><a href="http://sdfsdfsdfsdf">sdfsfsdfsdf</a></p>

(i use to make it http://feedity.com/default.aspx)

but if i use this sort of links

<li><a href="http://xxxxxxxxxxxx.html">casino
en ligne les meilleurs bonus</a></li>

that one is INDEXED

so what's the different enter

</li> (index it)
and
<p> (never index) please ???

thanks a lot
enjoy the week end