The load contactor should close. Return the Delay adjustment to its original position. The load contactor should open. The DS-4 will respond according to its profile but at least Relay 1 should close. If the unit will not pass this test it is defective.
Wet snow tends to fall at elevated temperatures.
Though it may be above freezing outside the colder upper atmosphere may allow snow to form. This occurs regularly in high altitude locations. This is why the center position for Trigger Temperature is 39 F rather than 32 F. Try adjusting the Trigger Temperature higher. Also make sure your sensor is not mounted in a location near exhaust hoods or other sources of heat. You may need to adjust your Delay Off cycle longer to allow the deicing system to clear all of the snow and dry the surface.