Hey there :]
If now an user do not have permission, it just says no permission.
Can u add the following:
"Missing permission my.command.test" if enter an command and you do not have the permission.

Greetz,
yololetsplay

This isn't necessary. You have Debug Mode to show you all of the missing permissions.

Well, the debug mode does not give an output, if I enable debug mode for an player.
Btw. the thread is outdated and from bukkit, the right command is /pex debug USER now.

The permission denied message is controlled by plugins checking permissions, not by PEX. The per-user debug mode was disabled in 1.x and does not exist in 2.x. In 2.x, debug mode can filter by the content of the permission being checked though.