I know that this is an old message, but I thought that I would post the fix for this here anyway since I just spent about two hours figuring this out.
When you install Mailman on SME, you must configure the list creators password. A step that is not told to you. To do this, run:
/opt/mailman/bin/mmsitepass -c [password]
The -c tells the Mailman process that the following password (remove the brackets) is the list creator password. Once you do that, you can then create mailing lists without using the command line as I've done for the past two years.
Now...to get my lists moved over.
I hope this helps!