Access MailChimp forms
Recently found a FAQ from Drupal Mailchimp módule here
It says:


  Q: How do I create anonymous signup forms on the site as either a page
  or a block?
  
  A: Head to this path admin/config/services/mailchimp/signup/add, fill out the form and
  click on “Block”, “Page”, or both Display Modes.
  
  Block - ...
  
  Page - enter a path for which you’d
  like the signup form to appear, and click “Save”. In order to make
  SignUp pages available to anonymous users, head over to where
  permissions are assigned (admin/people/permissions), and check the
  appropriate boxes next to the permission marked “Access all Mailchimp
  Signup Pages.”


So this means that I should ignore that warning.