I have browsed the logs :).
I have noticed several TESTORDER redirects (last one at 2013-02-26 19:03:45.075 my time), but no order notification appeared later (no test order was placed).
The last test order/purchase, which generated order notification was at 2013-02-25 21:25:34.553 m(the one that did not find the cookie).
Please try once again following the steps below:
1. Please make sure your browser accepts cookies (it is ok now, I guess, but please check it :)).
2. Click once again that TESTORDER link. It will redirect you to your merchant website.
3. When you are redirected, please place some small order, with payment, so that the Thank-You page appears and the notification will be generated.
4. And then, please check the STATUS of your website. Hopefuly it will be "TESTED" this time :).
Please, let me know if that works :).