Have someone stand beside the furnace and listen very carefully as you turn the humidity level up & down. If it is wired right, they will notice a very slight drop in air noise when you call for dehumidification.
You could also get out your meter and check the DHUM terminal in the AHU. If you set it up right and there is a demand for dehumidification there will be no votage and when there is no demand there will be voltage. If this is not the case then check the setup on the dry contacts. They should be set to normally closed. Don't forget you need to supply a power jumper to the other side of the dry contact.