Testing allows you to check that the action completes without creating a permanent change to your environment.
Consider that you want to change the first row and first column in an Excel table to some value which originates from some other place. If you use Run the desktop flow you have to ensure that you can access the location to get the value to add to your Excel table. If you use Test a desktop flow you should be able to use assert to set the value without having to read it from the other place.
In some cases using Test allows you to test individual parts of your flow without having any needed inputs also configured.
In other cases you don't need it.