As far as I can tell, this feature isn't included, so I'd like to request it.
It would be great if the MailChimp integration worked better with Pro Sites so you can put different levels of users on different lists.
For example, you'll want to send email to your free users from time to time with reasons why they should upgrade to the paid levels. You wouldn't want your paid members to get those emails because they're already paying. Also, if you have multiple paid levels, you could remind users of the benefits of upgrading to the next level up.
And, for that matter, your highest-level members could get special emails that other users don't get. That could be one of the perks. But it requires having them on different lists.
I can't see a way to do that currently. I hope I'm wrong and you can tell me how to do it. If not, could you please add it?