I have created sandbox payment links, that after completing the test payment says is successful with “Customer created in the seller’s customer directory” and “The Order is shown in Order Manager in Square Dashboard…” However, there is no order found in the Square Dashboard and when running the api request found in this link with no filter it returns an empty object.
My ApplicationId is sandbox-sq0idb–Y0lOxwxCT1pXB7S6-Xz-w
This is because the payment is in sandbox and the experience doesn’t match exactly with production. We’re constantly working to improve our features based on feedback like this, so I’ll be sure to share your request to the API product team. 
I would suggest to mention that some triggered actions are not yet implemented on the Checkout Complete section of the Checkout API Sandbox Testing Panel
We’re constantly working to improve our features based on feedback like this, so I’ll be sure to share your request to the API product team.