OS X sed handles the -i argument differently to the Linux version.
You can generate a command that might “work” for both by adding -e in this way:
# vv
sed -i -e 's|\(.*\)\.o:|$(OBJ_DIR)/\1.o $(OBJ_DIR)/\1.d $(TEST_OBJ_DIR)/\1_utest.o:|' $@
OS X sed -i interprets the next thing after the -i as a file extension for a backup copy of the in-place edit. (The Linux version only does this if there is no space between the -i and the extension.) Obviously a side affect of using this is that you will get a backup file with -e as an extension, which you may not want. Please refer to other answers to this question for more details, and cleaner approaches that can be used instead.
The behaviour you see is because OS X sed consumes the s||| as the extension (!) then interprets the next argument as a command – in this case it begins with t, which sed recognizes as a branch-to-label command expecting the target label as an argument – hence the error you see.
If you create a file test you can reproduce the error:
$ sed -i 's|x|y|' test
sed: 1: "test": undefined label 'est'