Pay attention to the details!

I created a new SharePoint Group, chose Yes for Create an e-mail distribution group for this group?, then gave the group an email address. I clicked save, and went about my business.

What I didn’t notice was this:
Distribution list status:
Creation request pending

Where are these items approved at?
… Central Administration.

SharePoint 2010
Central Administration –> Security
In the Users section, you will want to click on Approve or reject distribution groups.

Here is the URL:
http://centraladmin:777/Lists/Distribution%20Groups/AllItems.aspx
centraladmin:777 = your central admin location.