I just checked out your site and now realize what's going on. Of course, you told me too, but seeing it made it stick! :-p
By using the MailChimp signup form, you're bypassing the AutoChimp bypass double opt-in. AutoChimp basically syncs your blog users with your mailing list. So, if someone registers for your site, and you've checked "bypass double opt-in", then AutoChimp will sign them up for your newsletter and skip the double opt-in. By using the signup form, you're letting the MailChimp widget plugin do the signup, which does not bypass the double-opt in.
You're using everything correctly now. For a simple signup form, you want them to go through the double opt-in, since anyone could sign anyone else up to your newsletter. I am sure that you could edit the code for the MailChimp plugin to make it bypass the opt-in, but I wouldn't recommend it.