Sorry for the delay in getting back to you.
You need to create a mailing list archive if you want an archive/forum for your mailing list. So, instead of creating a forum, you go to
Archive Mailing List to start an archive for each of your mailing list.
Then you create a forum, and set each of your mailing list archive's parent to that forum. Then you embed the parent forum into your site. You should also set the parent forum to disallow posting so that user are forced to go to a child forum to post to mailing list.
Does this make sense?