For form completion events (all types such as Email, SQL, Redirection etc...) you just need to specify the response as 'Any Response' if you want the form to always fire no matter what, otherwise you just need to choose what response will trigger the event and from what field.
Example:
Field: Color
Field Response: (choose < Any Response> from dropdownlist to always fire the event or possibly choose 'Blue' if you only want the event fired when the user selects Blue from that dropdownlist).
In general, keep in mind that you should be able to have as many (or as few completion events) as you would like but you only need to have 'Redirection Event Types' setup for events that don't use the 'Any Response' response. This is because you can already specify the redirection URL under General Settings so you only need to setup a event for redirection if you want it to send the user to a different URL based on a fields response (i.e. Redirect the user to Page A if the user chooses Red from the dropdown or Page B if they select Blue from the dropdown, this would be two events setup, otherwise if they don't select Red or Blue it will redirect them to whatever page is specified in general settings).
As far as your SQL for the event, a few small changes -notice the ' and extra )
INSERT INTO dnn.dbo.itemlist (text) values ('$(newitem)')
In short you can test your SQL by executing it under Host, SQL and just replace the $(newitem) text with actual text. So for example, in your example it would have looked like this:
INSERT INTO dnn.dbo.itemlist (text) values (myitem
Instead you want it to look like this to work:
INSERT INTO dnn.dbo.itemlist (text) values ('myitem')
When the SQL Event executes the $(newitem) text (which represents the fields short field name) will be parsed and replaced with the actual value.
-Chad