I was in the other room when the test finally went through and didn't hear anything. About an hour ago, I went back into the room, pressed the down arrow key, and noticed the test message along with 'expired' showing. Before, it only showed "no messages". That's when I started messing with the Alert Option menu and discovered the test messages were apparently disabled. Volume wheel was up, but I still didn't hear anything at the time. Siren is set to High.
UPDATE: On 1/8/09, I received the Required Weekly Test, this time with siren (I worked night shift the night before. It did a great job waking me up). For anyone getting this radio, the test message audible alerts apparently come from the factory disabled by default.