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Squarespace support has confirmed this. One can just start ignoring these messages from Squarespace. The problem with this is if there were a real problem with the Mailchimp connection one would never know. It's just not practical to check every one of these messages. Mailchimp should be giving Squarespace a reason for the rejection, I've requested this be included in the email message so they can be easily filtered out.

I think I may have figured this out. I googled some of the email addresses that I got these form block errors on and discovered they are blacklisted here: https://cleantalk.org/.
My guess is Mailchimp has started rejecting these email addresses and Squarespace isn't properly handling the rejection. Would be nice if Squarespace could stop emailing about these.

One thing I always do with the newsletter block is to connect multiple storage methods. So I'll have a google sheet and mailchimp connected. This way the google sheet has everything just in case mailchimp connection fails.

I second what @BigJosh says. Also, make sure you've connected your Squarespace site in Mailchimp and added that code to Squarespace. You can find the exact steps here.