What you're missing is a resistor in series with the PSU to limit the current, you're likely to destroy the TVS otherwise - setting a low current limit on the PSU would do, but is liable to mis-setting and destruction.
What part of the test do they fail?.
Personally I'm dubious about applying that much heat to them, you could be killing them by overheating. Assuming they fail at operation 5)?, then I would suggest doing 5) earlier as well, as operation 2.5 or so - and see if they pass then, but fail later.