When setting failsafe on the receiver, ALL failsafe values are set at the same time.
When you set the failsafe on the receiver, the failsafe values are set when the button is pressed.
When using "CUSTOM" on the Tx, the failsafe values are sent every (about) 10 seconds, instead of actual control values. So, after changing the setting on the Tx, you need to wait at least 10 seconds before testing. Note that there is no guarantee the failsafe settings have been received by the Rx, The data packet containing failsafe values may not be received correctly sometimes, so even waiting 10 seconds may not always be enough, although it should get to the receiver eventually.
In the original implementation of openTx, The only setting on the Tx were "Hold", Custom, an "No Pulses", there was no "Not Set" or "Receiver" setting. This meant if nothing was done on the Tx, it sent "Hold", and this then became the setting, even if you set the failsafe on the Rx. Without the "Not Set" warning, you might think you have set the failsafe on the Rx, but this got changed to "Hold" without your knowledge. The "Receiver" setting was added first, and much later the "Not Set" warning was added.
Mike