You are defining your array as xlValidateList()
, so when you try to assign the type, it gets confused as to what you are trying to assign to the type.
Instead, try this:
Dim MyList(5) As String
MyList(0) = 1
MyList(1) = 2
MyList(2) = 3
MyList(3) = 4
MyList(4) = 5
MyList(5) = 6
With Range("A1").Validation
.Delete
.Add Type:=xlValidateList, AlertStyle:=xlValidAlertStop, _
Operator:=xlBetween, Formula1:=Join(MyList, ",")
End With