I'm really sorry this one slipped by us -- that's my fault. I did look into your issue as I understand it and I think I have an easy explanation:
If you are halfway through setting up a MailChimp integration (meaning you've authenticated with the API key but have not chosen a list) then you're right, we don't refresh your lists the next time you open that panel. The trick is to click the "Cancel" button at the bottom of the overlay, instead of the (x). Clicking cancel will ensure that you have to authenticate again and that we'll re-fetch your lists from MailChimp. Does that make sense?
I can see how this would be confusing and is definitely an area we can improve on. Let me know if canceling the half-completed integration works for you.