All comparable sales used in an appraisal are verified. The MLS listing or (whatever source is used) is your primary information must be verified by a secondary resource (most often tax records).
During these turbulent markets many 'sales' sit in a 'pending' group on many MLS. Many of these MLS are configured to automatically push the listing to a 'sold' caterogy after a set period. These 'sales' do not show up on the tax records because they never actually sold. Calls to listing agents and other sources can be utilized to verify the sale. Tax records in certain areas have a lag in reporting sales, in which case the appraiser should comment accordingly and make the correct changes when neccessary (even months after the report was sent).
*Many MLS have a note / disclaimer / or mark the category 'Sold/Pending'.