I've not used EVPN as yet, but I can confirm that with VPLS and l2circuits you can setup CFM tests from devices on either side of the circuit and run a complete test on the set.
You do need to be sure that the maintenance domain settings used by the test set do not overlap any CFM that is configured on the devices as part of the service testing. If they do match the packets can be caught by the service configuration instead of passing through to the test set.