It would be really nice to have an option to pop up notifications when testing themes and hide delays so that you can see what looks and feels nice. You can do this with notify-send but this isn't user friendly and is honestly a lot more work.
Thank you for your bug report. This particular issue is fixed since xfce4-notifyd 0.2.0 which shows a preview button in the bottom of the settings dialog. The git master branch also shows a preview every time you change the notification theme, without requiring a click on the button. Cheers, Jérôme