Mice are naturally nocturnal but most of the lab behavioral tests are conducted in the day time. Is this confounding? Therefore when is the best time to do behavioral test of mice/rodents?
It often depends on the behavior. In general, if you can do testing in the dark period, this is often ideal. I study maternal behavior, which has to be expressed at all hours of the day, so running behavioral testing during the light hours is not an issue. My suggestion would be that you do the testing one hour after the light change, whether you do it during the light or dark, to avoid variability around this time. I prefer to do the testing in the morning due to decreased risk of the animals being disturbed by general activity in the building and animal room. They are much more sensitive to noise, vibration, and odors that we are, so there can be disturbances even in highly controlled animal facilities.
Like Benjamin mentioned above, the best testing time is dependent on the behavioral test and the behavior you want to observe. In addition to adjusting your testing time around the animals' light and dark cycle, you could also use red lights. Rodents are less sensitive to this light than humans and many labs will have these light installed in their testing rooms so they can test the animals during their dark cycle.
Additionally, some labs will switch their animals light and dark cycles to be the opposite of what naturally occurs. This allows experimenters to conduct testing during "normal business hours" when the animals are the most active (during their dark cycle). I've seen labs swap out the white/yellow lights in the colony room and in the study rooms for red in order to accomplish this while still allowing for normal human daytime activities. You'd of course need to give your animals time to adjust if you decide to do this. But this is another option.
If you do your tests at different times, say 6, 12, 18, 24 hr, you can control for this effect, (and quite possibly find out something new and worth publishing). It is important to choose your mouse type. Domestic tame mice are diurnal, fat and lazy; a wild mouse I kept for 3 years was nocturnal, ran 32 km each night on an exercise measuring wheel; and if I switched the light on, it dived through the revolving bars into its nest box. It could jump 30 cm from the floor of the cage to land upside down on the wire mesh above. And bit me whenever it could.