Just done a bench test using a Saturn with a Marine Viper 25.
Switch on the usual way, set for forward running, switch off transmitter. The motor immediately stopped, but started again on switching the transmitter back on. The rudder, hard over, stayed put, but restored to dead ahead on switching the transmitter back on as the stick had centered when I Let go to switch back on again.
Pre-2G4 radios losing signal would generally stop giving an output. This would (depending on ESC) stop the ESC, but leave any servo in whatever state it was when the signal went. A fail safe would generally drive a throttle servo to idle or stop.
2G4 radios might work differently, each make, and a lot of models within the make, will respond differently, and might well have a setting that convinces your "fail safe" circuit that all is well. A long, careful read of the instructions might help find out if this is the case.