With statins, the reported rate of adverse events differs widely between randomized clinical trials (RCTs) and observations in clinical practice, the rates being 1–2% in RCTs vs. 10–20% in the so-called real world. One possible explanation is the claim that RCTs mostly use a run-in period with a statin. This would exclude intolerant patients from remaining in the trial and therefore favour a bias towards lower rates of intolerance. We here review data from RCTs with more than 1000 participants with and without a run-in period, which were included in the Cholesterol Treatment Trialists Collaboration. Two major conclusions arise: (i) the majority of RCTs did not have a test dose of a statin in the run-in phase. (ii) A test dose in the run-in phase was not associated with a significantly improved adherence rate within that trial when compared to trials without a test dose. Taken together, the RCTs of statins reviewed here do not suggest a bias towards an artificially higher adherence rate because of a run-in period with a test dose of the statin. Other possible explanations for the apparent disparity between RCTs and real-world observations are also included in this review albeit mostly not supported by scientific data.