Is it not the same down there in the US? The fact that this might not pop up "THIS IS A TEST" on the majority of home TV systems would be enough for me to consider the entire system completely broken. There is no point in having a warning system that causes as much panic as a real event its intended to help warn against if you choose to test it.
Its not broken, its just that some people are really, really dumb.
Not only will the actual audio of the alert be there saying that its just a test, there should be no panic at the presence of an alert if it were real. Every broadcast station here is required to activate the alert system for a test once a week and its used for real whenever there is severe weather.
There doesn't need to be a graphic "this is just a test" message, the emergency alerts in our country are audio-based with a bit of textual metadata (which is really only necessary for the broadcaster). The audio recording will say its a test. Some TV stations just have their audio signal overridden and continue displaying program video. Yes, its because they're too cheap for a character generator, but its not really a failure of the system to deliver a message. Perhaps a failure of the FCC's requirements and they should mandate video to be overridden too, but the message is still delivered fine.