Carl,
In the MailChimp website, you do have to create at least one folder to hold your campaign archives. You then use that folder to generate the code fragment which embeds the archive into your WordPress web page.
Here’s an example of how I handled that. I set up my client’s website with two different kinds of automatic RSS-to-email campaigns. One kind goes out monthly to all newsletter subscribers, and the other kind goes out daily to people who asked for instant updates. I created one folder for each. The automatically generated email campaigns are automatically filed in the appropriate folder. I generated two different codes fragments for each kind of archive and embedded them into my client’s website, as you can see on the mailings page:
https://www.santlytraining.com/mailings/
If you create your email campaigns manually, then I guess you do have to move them into the designated archive folder, but you might want to do that anyway to keep things organized.
Fred