On the Managed Anti-Virus administration screen, "Test SMTP Settings" is successful, but the actual alert mail fails.

"Testing SMTP settings" is not for verifying whether alert mail is sent, but for verifying the connectivity to the mail server.
There is a possibility that the setting of the destination address is incomplete as a reason for failing to send the actual alert mail, please check it again.

Tutorial - Host-based Security - Setting up Alert Email Sending

Tutorial - Host-based Security - Setting up the Alert Destination