Standard sed only understands POSIX Basic Regular Expressions (BRE), not Extended Regular Expressions (ERE), and the ? is a metacharacter in EREs, but not in BREs.
Your version of sed might support EREs if you turn them on. With GNU sed, the relevant options are -r and --regexp-extended, described as “use extended regular expressions in the script”.
However, if your sed does not support it – quite plausible – then you are stuck. Either import a version of sed that does support them, or redesign your processing. Maybe you should use awk instead.
2014-02-21
I don’t know why I didn’t mention that even though sed does not support the shorthand ? or \? notation, it does support counted ranges with \{n,m\}, so you can simulate ? with \{0,1\}:
sed -n '/\(www\.\)\{0,1\}teste/p' << EOF
http://www.tested.com/
http://tested.com/
http://www.teased.com/
EOF
which produces:
http://www.tested.com/
http://tested.com/
Tested on Mac OS X 10.9.1 Mavericks with the standard BSD sed and with GNU sed 4.2.2.