Security for Oracle linked server from SQL Server
If the user that you added to use the Linked Server is not for the login you are currently using (and it is the only one you've set up), when you click OK, the connection test will fail because the current user will have no valid mapping to use the Linked Server.

To fix this simply create a valid mapping for your login as well. That way when you click OK the test will succeed because there is a valid mapping for the current user - if you use the same settings for the Oracle target in both mappings you'll have some confidence that it will be working for the other user(s).   Either that or ignore the error from the test and check specifically that the user you created the mapping for can use the linked server successfully.