When you send a "test" message and manually enter an email address the unsubscribe link is not active.
The intended purpose of sending test messages is to send them to a handful of email addresses to verify that your message is properly formatted and working as intended. As such, we trust that you are the one in control of those email addresses and wouldn't really want to unsubscribe them. The complete standard footer is included on the email, however, so that you may test every aspect of the message.
The unsubscribe option only works when you send an actual campaign using the "send campaign" option and choose a group of contacts to send to. When a person unsubscribes after receiving an email this way they are unsubscribed immediately.