Hi Natalie,
We have designed this in such a way that the unsubscribe link does not appear in the test emails. This was done to avoid users who are trying out test emails from accidently unsubscribing themselves. For test emails the "Unsubscribe" text appears in the footer but it's not clickable.
For regular campaign newsletters, the unsubscribe link is operational.
Thanks,
Nihar
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Nihar Namjoshi
Microsoft Office Live Small Business