What happens if you transfer real tokens to a test account? The Ethereum wallet says that you shouldn't do it, but it doesn't say why.
As long as you have the private key and therefore access to that account, you will be able to transfer the tokens to another account.
Great way to test it, is to load that account using the Metamask addon (MetaMask.io) and then to switch the Net you are on:
You can see the balance of the account on every network.
Why the warning: I think the warning comes, because for a test account you would possibly be less careful in handling the private keys, than with a main account.
Real tokens live on the mainnet. You're testnet account address does not exist on the mainnet. So when you send real tokens from the mainnet to this testnet address, you will lose them. It's like sending money to a wrong bank account.
That's because mainnet and testnet are two completely different networks.