The Activity Feed module primarily displays recent actions from friends of the current user logged in through Facebook. So, if the user is logged in *and* have friends that have used the site, there should be listings of pages that their friends have recently Like'd or Commented on or Open Graph Actions that have been taken.
If the user isn't logged in *or* there isn't enough friend activity for the currently logged in user, then recommendations from Facebook will be shown. Those are based on pages that have had the most Like's, Comments or Open Graph Actions taken on them. If your site is new, you may not have had enough social activity on your site for Facebook to generate these recommendations.
If you're seeing the "No recent activity setting", it likely means one of the following:
* You haven't set the domain properly in the settings, so Facebook can't fetch the recommendations for your page
* Your domain doesn't have enough activity to show anything
I hope that helps, but if not, let me know your configuration settings for the Feed module and then we can investigate further.
Thanks,
Alex