нифига не работает в базовом классе, только так

   [TestClass]
    public class MyTests : AnBase
    {
        [ClassInitialize]
        public static void ClassInitialize(TestContext par) { Debug.Print("Running ClassInitialize"); }
        [TestMethod]
        public void TestMethod1() { Debug.Print("Running       TestMethod1....."); }
        [TestMethod]
        public void TestMethod2() { Debug.Print("Running       TestMethod2....."); }
        [ClassCleanup]
        public static void ClassCleanup() { Debug.Print("Running ClassCleanup"); }
    }
    public class AnBase
    {
        [TestInitialize]
        public void TestInitialize() { Debug.Print("Running    TestInitialize"); }
        [TestCleanup]
        public void TestCleanup() { Debug.Print("Running    TestCleanup"); }
    }

результаты

TestMethod1() Debug Trace:
Running ClassInitialize
Running    TestInitialize
Running       TestMethod1.....
Running    TestCleanup


TestMethod2() Debug Trace:
Running    TestInitialize
Running       TestMethod2.....
Running    TestCleanup
Running ClassCleanup

и еще отгребешь

https://developercommunity.visualstudio.com/content/proble...