Thanks for posting. I'm afraid that currently plugin can only utilize the US standard phone number split, even if an International Phone field is being used on the list in your MailChimp account. So the interaction you're describing is a limitation of this plugin.
I've gone ahead and passed this feedback along to our developers to consider incorporating in future development of this plugin.
In the mean time, the best bets would be to utilize a text field in your list to capture phone numbers instead (though you would not have any number-based validation) or to add the MailChimp embed code into a widget on your WordPress site instead. This article walks through getting that embed code: How can I add my signup form to my website?: http://eepurl.com/gOGN
If you have any questions, let us know!