Thank you for your question and I understand wanting to test a component yourself.
The "high limit thermostat will need to disconnected and tested for continuity.
NOTE: Disconnect the power supply from the power source before disconnecting and testing the thermostat
The "high limit" thermostat should be normally closed, meaning the thermostat should measure continuity. You will need an OHM meter to test the continuity across the two terminals of the thermostat. Place one meter lead on one vacant terminal and the other meter lead on the other vacant terminal and place the meter on Ohm’s. See image below.