You can still try with mains voltage and an actual load, for example a resistive heater (carefully, of course). Power relays and contactors actually have minimum load requirement (often unspecified, though; might be discussed in a separate appnote) and do not work as "signal relays", as the contacts oxidize. That's why signal relays exist as a separate category. But when switching higher power loads, the sparking of the contacts cleans them.
Of course, it's possible it's just defective.