Purpose of Test scripts for Appveyor? Intergration with Codecov

We have started using Appveyor for CI with our Github repo and all has went fine. We have our build script working (appveyor.yml) in the repo, and it successfully builds and produces an artifact. Now on to my question

We are trying to pair our builds now with codecov.io which says it will scan it during the CI build. And it does support appveyor, it merely says to add this to the yml

after_test: - bash <(curl -s https://codecov.io/bash)

Which we did, but nothing happens. Does this mean i need an actual test script to run, before it will send off the code to codecov? It is a C# project, and we have it compile, and generate the .exe which we then package into a zip which can be downloaded.

What are the point of these "test scripts" when we already know it compiles and produces an exe? I am a bit confused on how to use this properly..