You need to escape the backslashes. At least, it did work for me:
sed -e 's/^/mkdir -p \/VOLUME1\/TEST2\//' log.txt > log2.txt
The beginning of the result:
mkdir -p /VOLUME1/TEST2/confEclipse/MIT-Eclipse-CheckStyle-20160408.xml mkdir -p /VOLUME1/TEST2/confEclipse/MIT-Eclipse-CodeStyle-CleanUp-20160408.xml mkdir -p /VOLUME1/TEST2/confEclipse/MIT-Eclipse-CodeStyle-CodeTemplates-20160408