The fact that the test for linearity suggests that the system is linear if we only consider real valued scale factors shows that the system would be linear if viewed as a real-valued multiple-input multiple-output (MIMO) system. We could model the system as one with two inputs and two outputs. In that case, the transfer function matrix is just a constant diagonal matrix:
$$\mathbf{H}=\left[\begin{array}{ll}1 & 0 \\ 0 & v\end{array}\right]\tag{1}$$
However, if viewed as a single-input single-output complex-valued system - as implied in the test question - , the system is not linear because the linearity test fails if we consider complex-valued scale factors. This is correctly pointed out in Hilmar's answer.
I'd like to show another way to see that the given complex-valued system is not linear. First, note that the given system is cleary time-invariant. Consequently, if it were linear, it would need to be a linear time-invariant (LTI) system, and as such its output must be computable from its input via convolution with a (complex-valued) impulse response
$$h(t)=h_R(t)+jh_I(t)$$
With $x(t)=x_R(t)+jx_I(t)$ being the complex-valued input, the corresponding output is
$$y(t)=(x_R\star h_R)(t)-(x_I\star h_I)(t)+j\big[(x_R\star h_I)(t)+(x_I\star h_R)(t)\big]\tag{2}$$
From the specification of the system, we require the output to be
$$y(t)=x_R(t)+jvx_I(t)\tag{3}$$
Comparing $(2)$ with $(3)$ shows that there exists no impulse response $h(t)$ satisfying $(3)$. Hence, the system cannot be linear.
A complex-valued system can be viewed as a MIMO system. However, the transfer function matrix is very specific, and we can't choose the matrix entries independently. The transfer function matrix of a complex-valued system has the form
$$\mathbf{H}=\left[\begin{array}{ll}H_R(s) & -H_I(s) \\ H_I(s) & H_R(s)\end{array}\right]\tag{4}$$
where $H_R(s)$ and $H_I(s)$ are the transfer functions of the real and imaginary parts of the impulse response. Comparing $(4)$ with $(1)$ shows again that the given system cannot be implemented by a linear complex-valued system.