I'm not sure what would be the best way to verify that. 
What about:

    def test_connect_with_msg_callback(self):
        with support.transient_internet("svn.python.org"):
            self.called = False
            def cb(packet):
                self.assertGreater(len(packet), 0)
                self.called = True
            ctx = ssl.SSLContext(ssl.PROTOCOL_SSLv23)
            ctx.set_msg_callback(cb)
            s = ctx.wrap_socket(socket.socket(socket.AF_INET))
            try:
                s.connect(("svn.python.org", 443))
                self.assertTrue(self.called)
            finally:
                s.close()