The power switch on the power supply does not turn the unit on. This is by design. When installed on a system, the power supply would be connected to a motherboard. From there, usually a case power button will be connected to the motherboard which can be used to turn on the system instead of having to reach behind the system for the power supply switch.
Have the power supply switch in the On position is similar to having a power strip in the On position. It allows power to go through, but does not turn on devices connected to it.
To test the power supply alone, you can follow the instructions in the related FAQ.