That's because LSWS does not allow setuid or setgid CGI scripts by default. Mailman's CGI script is setgid. I updated the latest 2.2.2 package, please download and install again.
To make mailman CGI happy, you also need to set "Force GID" under server->"security"->"CGI resource control" to the gid of "nobody" group.
Please let me know the result.