At Step 3: Send a Test, you can choose to whom messages will appear to have been sent to. There are 2 options: The List Address or The Recipient.
When they are created, all lists are set to have "The Recipient" shown as the To: address. This means each subscriber will see their address (and only their address) in the To: field. Since many spam filters check to make sure the To: field matches the email address the message is being sent to, we recommend keeping your list set to "The Recipient".
Setting To: to "The List Address" means that every message sent to your list will have the To: field set to your list email address. This option is sometimes used by lists whose subscribers may wish to filter messages by the To: address, but it is generally not recommended.