I'm a bit bemused why you're checking it with 12V - as it reads 12.4V both ways, presumably that's not enough to make it conduct? - but a protection diode shouldn't conduct, it simply goes S/C under the specific fault conditions that cause it to blow.
However, it's NOT a functioning part of a microwave, and the oven will work fine without it. It's 'function' is to go S/C if the HV rectifier fails, and thus cause the fuse to blow - often the HV rectifier going S/C doesn't blow the fuse, and this can kill the transformer.
I would suggest though that you don't meddle with Microwave ovens - they are VERY, VERY dangerous devices, and can easily kill you.