gistfile1.txt

in the reference 
http://framework.zend.com/manual/1.12/en/zend.test.phpunit.html
is:
$this->request->setHeader('X-Requested-With', 'XmlHttpRequest');
it should be:
$this->request->setHeader('X_REQUESTED_WITH', 'XMLHttpRequest');

in  Zend_Controller_Request_Http

 public function isXmlHttpRequest()
    {
        return ($this->getHeader('X_REQUESTED_WITH') == 'XMLHttpRequest');
    }