Most, if not all, email templates come pre-populated with the firstname macro. This macro looks like this: Dear %firstname%. At the time the email is sent, the macro portion (%firstname%) looks up your recipient's first name and address the email to his or hers unique first name. This macro is what addresses your email as "Dear Bob" (where Bob is your supporter's first name).
However, when you send a test email, the email engine bypasses all database lookups and instead sends the test email directly to the email addresses that you specified in the test email box. The result is that all test emails will have a generic "Dear Supporter" as a default setting, where Dear %Supporter% is actually the default greeting.
So your email text might look like this:
However, your TEST emails will show up like this:
Notice that there is no real first name. Test emails will ALWAYS have the default greeting.
This is also the case with to 'to' field on your email client:
Again, it's the same mechanism where the test email function bypasses the database and sends directly to an email address that you specify. In this case, the default greeting is set to 'Friend'.
Go here to see how to change the default greeting.