For the most part, such testers are worthless.
You probably did well to return it.
Even a simple PSU tester only tests basic connectivity, and nothing under load.
My first test on a new motherboard is to simply boot and attempt to get into the bios using the integrated display adapter.
The second test is to load memtest86+ and exercise the ram.
Over time, you may accumulate a unused psu, ram, or graphics card that helps in diagnosing the source of a problem.