When a subscriber (consumer) dies, your list will continue to grow until the client returns. Your producer could trim the list (from either side) once it reaches a specific limit, but that is something you would need to handle at the application level. If you include a timestamp within each message, your consumer can then act on the age of a message, assuming you have application logic you want to enforce on message age.
I'm not sure how a malformed message would enter the system, as the connection to Redis is usually TCP with the its integrity assurances. But if this happens, perhaps due to a bug in message encoding at the producer layer, you could provide a general mechanism for handling errors by keeping a queue-per-producer that received consumer's exception messages.
Retry policies will depend greatly on your application needs. If you need 100% assurance that a message has been received and processed, then you should consider using Redis transactions (MULTI/EXEC) to wrap the work done by a consumer, so you can ensure that a client doesn't remove a message unless it has completed its work. If you need explicit acknowlegement, then you could use an explicit ACK message on a queue dedicated to the producer process(es).
Without knowing more about your application needs, it's hard to know how to choose wisely. Generally, if your messages require full ACID protection, then you probably also need to use redis transactions. If your messages are only meaningful when they are timely, then transactions may not be needed. It sounds as though you can't tolerate dropped messages, so your approach of using a list is good. If you need to implement a priority queue for your messages, you can use the sorted set (the Z-commands) to store your messages, using their priority as the score value, along with a polling consumer.