I executed the following:

file="TEST01_*\.mqsc"
ls -1 $dir | grep $file > test.txt
rc=$?
echo "Return Code is: $rc"

The result was:

$ bash -x test.sh
+ delete_files='TEST01_*.mqsc'
+ file='TEST01_*\.mqsc'
+ ls -1 C:/cygwin/var/log/img/aut/
+ grep TEST01_080924.mqsc TEST01_080925.mqsc TEST01_080926.mqsc TEST01_080927.mq
sc TEST01_080928.mqsc TEST01_080929.mqsc TEST01_080930.mqsc TEST01_081001.mqsc T
EST01_081002.mqsc TEST01_081003.mqsc TEST01_081004.mqsc TEST01_081005.mqsc TEST0
1_081006.mqsc TEST01_081007.mqsc TEST01_081008.mqsc TEST01_081009.mqsc TEST01_08
1010.mqsc
+ rc=1
+ echo 'Return Code is: 1'
Return Code is: 1