1. Go to admin/config/services/mailchimp/lists/1/edit
2. Check ONLY the "authenticated user" at the Roles section and Save
3. Go back to admin/config/services/mailchimp/lists/1/edit
4. Check "Enable MailChimp webhooks for this list" at the Settings section and Save
5. Seems everything ok, but when you go back the setting, the "Enable MailChimp webhooks for this list" checkbox is unchecked.
6. Check again, and after Save the error says "Unable to connect webhooks: Setting up multiple WebHooks for one URL is not allowed."
7. If you uncheck the authenticated user (and of course check another custom role), Save, go back, check the "Enable MailChimp webhooks for this list" and Save again, it will work.
At least for me :)