Hi Pete,
the idea of the feedback form, is that information will be sent to a formmail type of script, which will receive the info and do something with it. Unless you are familiar with formmail, I wouldn't suggest you use this option.
Instead, I suggest you try one of the other options. If you choose "Moodle forum" that will take students to the Moodle forum index, where they can choose a forum to send feedback and discuss the quiz they just took.
If you have already setup a Feedback activity, you could copy the URL for that and paste it into the Student Feedback URL when the "Student feedback" for the HotPot is set to "Web page". THat you should give the effect I think you are aiming for.
good luck!
Gordon
P.S. FYI, here is the help info for that option on that form (probably you have seen this already ...