We apologize for not implementing this earlier. However, we have some good new for you. We are implementing the test alert feature which is in development stage.
Alternatively, on the problem you faced, here is a quick cross-check that you can do. From The Admin tab, Navigate to Operations > Alert Logs (you can also search from our global search which now supports Admin actions) and check if an email was sent from us. This way you know if we sent the alert mail or not (This doesn't compensate for the lack of Test mail feature though).
Product Manager, Site24x7