Hey Actorix,
It turns out there is an issue where setting the TestDeviceId is still not properly forcing a test ad, so you were still requesting an actual ad. For now, as a workaround, try this:
MyAd.AdditionalParameters.Add("adtest", "on");
Note that this will always set test mode, so you will not want to release with this code.
As far as the "Ad not available" error, this is due to low fill rates. The Windows Phone 7 SDK does not support AdSense backfill like Android and iOS, and unfortunately there also are not as many advertisers targeting the Windows Phone 7 platform.
Cheers,
Eric