How to subscribe a customer's first and last name?

I'm having this issue as well. Same versions of the module, the order email is successfully subscribed but I can't find where the mergefields are getting set. I've combed over all the settings for the MailChimp module but can't find where I set those. Are those pulled from the Mergefields from MailChimp? Where do we tell it to use the customer First Name and Last Name?

It might be good to know that we are not using the MailChimp forms for signup at all, just the checkout pane. Does that matter?

You can try "Subscribe or unsubscribe entity from a mailchimp list" rule action from mailchimp module - looks like it lets you set merge tags. You can just add this action after the commerce_mailchimp one and update Mailchimp data. I haven't used it, but according to the code, it does what you need - see mailchimp_lists_process_subscribe_form_choices() function.

Has anyone been able to resolve this issue?

I'm adding a patch that is a quick solution to fix this issue. By no means is the final solution. Based on Jukebox's solution.