When you execute a command starting with the scripting prefix (ie. / in this case) then the entire command is considered a script, not just the first line. Thus "say test" is not a valid Lua statement.
You get the same effect if you enter a multi-line command in the command window, pressing Ctrl+Enter to start new lines. You only have to put "/" at the very start, and can have multi-line script statements in it.
To do what you are trying to do, try this:
/Note("test")
Send ("say test")
However then you may as well "send to script" and leave out the "/" on the first line.
Send to Execute is intended really to let you re-process aliases (or speedwalks). Eg. if "foo" is an alias, then doing this:
Alias: bar
Send to: execute
Send: foo
... would evaluate the alias "foo", whereas just send to world would simply send "foo", not what the alias turned it into.