I had this same problem. It is a permission issue, because
the webserver doesn't have access to create a file in
/usr/local/mailman/archives/private. This directory has
permissions of 750, owned by the mailman user.
The webserver, however, runs cgi scripts as nobody, not
mailman. You can confirm this, by checking your
/usr/local/mailman/lists directory, the list you tried to
create should have a directory there, owned by nobody (or,
whatever account your webserver uses), as the permissions
for the lists directory permit write access.