Mailchimp Web key URL not valid

I've followed the configuration instructions and created a web key URL in the Mailchimp integration plugin. When I paste it into MailChimp in the web key box for the list, it won't save it and gives an error message to use a valid URL.
The API key is set and shows as good in the plug-in settings.
Any suggestions - I'm assuming the url created is valid, the key I've used is just letters and I've tried numbers only - same result.