On the Source Definition of your import task, in filters, specify the name of the Mailchimp audience to get subscribers from instead of Enter your list name....
If you need to create Dynamics 365 contacts only for specific new Mailchimp subscribers, you can add more filter conditions for the source subscribers.
To import subscribers from multiple lists, add more similar filters with different list names and use the OR operator.
To import Mailchimp subscribers from all your Mailchimp lists, remove filters.