I hope you did the mains plug earth pin to hot handle metal tip continuity test? The handle tip [and casing] should be earthed.
Pop the case open and see if the live and neutral wires obey convention with, the live wire passing through the line fuse. Not always the case with these puppies poopies.
The very cheap 858D clone I just got from ebay (branded PJLSW 858D) is definitely not even nearly made to any safety standard.
A few points I noted after a quick try out:
1) The mains lead looks okay, but I was immediately suspicious of the slightly undersized "BS1362" fuse in the plug, so I cracked it in half and found no sand.
The plug happily accepts a genuine BS1362 fuse, reinforcing my idea that it's probably not too bad.
The fuse in the connector on the box where the mains enters seems to be an anonymous 20mm glass fuse with only faint, illegible markings.
2) The metal case is not earthed. Probably not a massive safety issue, though, since there is very little inside and nothing electrical comes near the metal box.
It looks like it wouldn't be hard to add a lead and a solder tag at the back to earth the box. Though, it might be hard to get a reliable contact.
Surely the original 858D didn't have this vast empty space between the front and the back?
This one is so light that it might not stay where you put it on your desk while you use it.
3) The connector on the box for the actual hot air gun to connect is a male connector and on the lead from the heat gun is a matching female, so if you power up the box without the heat gun connected, there will be live pins accessible. The connector does include a screw lock, so hopefully it's not instantly lethal once you know.
4) The box contains a small switch mode power supply to supply the control circuitry and also a triac to control the heater, and obviously neither circuit pays much attention to EMC (I didn't see any obvious filtering at all) because they emit quite a lot of RF when in use. A shame, but since I only intend to be using it occasionally, I can probably get away with it.