How to set up webhooks with the Mailchimp module
I had the same problem with my site, which is fixed now. It seems like the error message pops only if you are on HTTPS secure protocol. If you are on HTTPS try disabling it and try enabling your mailchimp lists. After you enable the mailchimp list now you can re-enable the HTTPS.

There is a bug on 7.x.3.1 version Make sure you are using the latest version 7.x.3.2

On secure pages settings you can ignore these pages loading from HTTPS.

example.com/admin/config/system/securepages

admin/config/services/mailchimp
admin/config/services/mailchimp/*