Hopefully you'll get the definitive answer you're looking for, but the way I read it there is no need to "setup the failsafe" based on what you quoted from the manual:
The only place I see where it mentions failsafe is on page 28 to teach the ECU your radio and on page 64 for diagnostic messages where it mentions that when the ECU sees a failsafe, it brings the engine to idle for .5 seconds and will hold idle for another 1.5 seconds if it continues in failsafe and then shutdown. My main thing is that the manual is well written and seems to cover everything except how to setup the failsafe
I say run it again and turn off the radio, see if it shuts down two seconds later. I'm betting it does.