There's a diode across the test terminals (behind the scenes). The impedance of a milliammeter is usually less than the diode, so the loop current flows through the milliammeter rather than the diode.
As John pointed out, the test terminals allow you to read the loop current without opening/breaking the loop to insert the millammeter is series.
I did find last week that some ultra-cheapie meters read low by about 20% on the test terminals. They read OK, within 0.02mA when in series, but when put across the test terminals showed significant error.
So, you might want to test your meter on the bench with a similar model that you can force to several output levels to confirm that the meter is reading within a reasonable tolerance for whatever task you're involved with.
By the way, the diagram shows both the HART communicator and the load on the loop terminals, not the test terminals.