Look at the answers and pictures from BIGRED. I Think there's the answer to your question

I've checked the printer configuration and to my surprise, as by the factory default, setting for hotend type was 'With sock'.I've switch to 'Stock' and the heater tests have completed successfully.

I have did the same, and I confirm that this made the test pass.

However, do I also need to do a physical intervention? I see that people refer to a physical sock. Sorry for the dumb question: how do I know if I have this; and if yes: should I remove it?

I mention that I did the upgrade from an mk3 -> mk3s+ -> mk3.5

I unloaded filament, started the test, and as soon as it entered heating stage, I used my finger to stop the hotend fan. IT WORKED, passed all tests, but a warning to check the fan at the end. 

Just another thing to try!

Posted by: @foxrun3d

Ran into this issue with my Mk3S running a Dragon hotend, when upgrading to 3.5. "Fixed" it by telling it it's wearing a sock (which it isn't), which made the test pass. Wish I could do the same on my Minis with Dragon hotends. I'm really not a fan of this thermal protection model. Of course I like the idea but I don't understand why they don't offer a way to bypass it in some kind of expert settings for people who know what they're doing but don't use the standard hotend or a Revo.

So is this new feature (not present on the Mk3) a safety feature if you can still use high power heaters on the Mk3.5 just like you could on the Mk3?

Yes. Nobody mention that the standard MK3S power supply is bare enough for the printer and the E3D V6 40W cartridge, but replacing the E3DV6 with a strong 60W cartridge it adds 20W more, and if there is also the MMU connected this could cause problems.

When you mod the printer, then you take all the risks.

If it was a safety feature, why even allow the higher power heater at all?

When E3D released the REVO fast change Nozzle they worked with PRUSA to create two additional FW for the MK3s (one for the 40W and another for the 60W).
At that time those FW were "approved" and signed with the PRUSA digital signature, and they could be loaded on the board without any restriction. Moreover they were also supported in Github.

However the party didn't last long: almost immediately they came out issues, and PRUSA was too busy in releasing the MK3.5 FW and fixing the MK4 FW too, so the priority to support REVO and fix issues was zeroed.

But may be PRUSA realized after releasing the initial FW 60W, that all the thermal runaway issues with the 60W were caused by some PSU which did not provide enough power to the cartridge, and they did not want to open discussion with their commercial partner E3D that did not disclose that risk to the users (e.g. the REVO kit should have included a new powerful PSU too...), so they just skipped the matter, since REVO was not a PRUSA standard product on the MK3. This type of compatibility experiments should be done by the vendors, that should ensure their products could be installed on a printer without causing issues.

Since then, they never released a MK3.5 REVO 60W version FW.

PRUSA told me that in this moment they are too focused on supporting only original PRUSA product, but may be they were concerned by the PSU supporting the Buddy+MMU3+60W 😣 

And if safety was a real concern, why force the user to modify firmware to use the heater?

This open a new scenario: the 3D printers manufacturers can't and wouldn't support 3rd party products, so all the 3D printer's accessories suppliers will need to start to release and support custom firmware for all the printers on which they want to install and sell their product; the alternative is that they will sell just few dozen pieces to some guru makers.

Or is this new feature there for something other than safety. To modify the firmware, you have to permanently alter the buddy board. And Prusa state that if you do that, your warranty is void (irrespective of whether a future failure is your fault or prusa's fault).

Both, safety and company interest. As explained who decide to mod a printer should do it at his own risk. Any liability for damages must fall on the person making the changes, and when a mod is done.. the warranty is gone!  😜

We spoke here about E3D REVO just as example, but the same rules applies for all the myriad of nozzles and extruders for the MKx (Roto, BondTech, Orballo, Micro-Swiss, etc.).

In my opinion PRUSA has been too benevolent with a lot of users to whom they sent free spare parts that should have been considered as paid consumables  or that could have been damaged during a wrong assembly of the kits. 😉

Regards

I had a similar issue after upgrading my mk3 to mk3.5. Speaking with support, I got told that the new restrictions to running a higher power heater were 'safety features' while at the same time being told that you can still use high power heaters if you modify the firmware. 

So is this new feature (not present on the Mk3) a safety feature if you can still use high power heaters on the Mk3.5 just like you could on the Mk3? If it was a safety feature, why even allow the higher power heater at all? And if safety was a real concern, why force the user to modify firmware to use the heater? Isn't that a perfect receipe for the user getting something wrong and increasing the chances of creating a dangerous situation? 

Or is this new feature there for something other than safety. To modify the firmware, you have to permanently alter the buddy board. And Prusa state that if you do that, your warranty is void (irrespective of whether a future failure is your fault or prusa's fault). So.... the new safety feature doesn't make the printer safer but it does eliminate one more printer from a potential warranty claim for Prusa. 

Conclusion - the new safety feature is just Prusa trying to reduce their costs, unfairly in my opinion, at the expense of the user's ability to use their printer in the way that they decide to use it.