Sometimes site require access to your devices: webcam or microphone. This is completely software thing and it’s connected with your security and confidentiality. On your screen you can see a pop-up window similar to this:
It should be understood that by clicking on the button "Allow" the sound from your microphone and the video from your webcam could be used by a site.
If you click "Deny" an application doesn't get access to your devices and cannot use them. And at the right of the address bar of your browser you will see an icon with a small red cross:
To restore access to your devices you can click on the icon and make your choice again:
And most likely you will need to reload the page.
The webcammictest.com site doesn’t save and record data from your devices. It just plays video from your webcam on your monitor and sound from your microphone on your headphones. So you can use it safely. You're safe.