Import images from RSS with Feeds module without Feeds Image Grabber
RSS feeds are XML files, so you could indeed use the XML parser from Feeds extensible parsers to extract data from it. This parser works with XPath queries. XPath is a query language to select data from a XML file. So to select the image from the RSS feed, you'll need to figure out how to select that data with the right XPath query.

It would be a good idea to learn more about XPath before using the XML parser. I think that the XPath tutorial from W3Schools is a good resource for this.