John,
I think I cracked that mystery. I set the remote into SPEED mode so I wouldn't keep complaining about not finding the engine, that probably affects how the test responds. When I go back to NORMAL mode, the test just hangs as I'd expect if it doesn't find an engine.
That makes perfect sense. Speed Mode causes the remote to assume a correct response to all commands that the remote sends.
However, since Speed Mode is supposed to return to 2-way command mode for commands that require it, such as adding or recovering an MTH engine, it seems that a DCS signal test should cause it to do so, as well, but does not.