The 'make test', as others have noted, simply makes sure that the module functions in your environment (for differing values of 'functions', depending on how good the test suite is).

Many Linux distributions provide Perl module packages that simply copy the modules into place without doing 'make test'; however, generally speaking, the package builder ran the tests on his or her build system. This is a little less safe than building and installing them yourself, but can save a heap of time.