The warning message for test-mode is missleading. It states that a contribution record is created, which is true, however test contributions are not listed on the contact's contribution tab. Thus the only way that they can be found is by direct query to the db.
This cannot be confirmed on the demo site since contributions are not allowed to be completed.
This patch rewords the warning message.
Patch is from civicrm/templates/CRM/Contribute