Variables and some escaped characters are not interpolated when between single quotes. The newline character referred to in your quote is the real character, not the \n representation. To get a new line, your test code would have to be doing something like this:

print 'Testing
';
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Concerning your code sample, the first line prints the word 'Testing' followed by the characters '\' and 'n'. The second line prints the word 'Testing' followed by a backslash, created by escaping a backslash (\\), followed by 'n'. The third line prints the word 'Testing' followed by a backslash created by escaping a backslash, followed by the characters '\' and 'n'.

Double quotes will allow escaped characters and variables to be interpolated. You can also use qq{}.

Update: added some extra detail