You can't easily check the LNB apart from substituting with another. You can check that the receiver is sending power to it though, if you are careful. There should be 13 - 18 volts depending on mode (H & V switching) on the cable, ideally measured at the LNB end. Make sure you do not short the cable while measuring as this can damage the receiver.
If your sat-finder is powered from the cable and is working, the power is probably OK.
Finding a satellite for the first time is quite a tricky process, so I would suspect alignment rather than faulty equipment initially.
The sat finder needs very fine adjustment. Turn up the sensitivity until it is making a noise and then back it off slightly, but not all the way. When the noise increases as you pan and tilt the dish, back it off a little more and continue until you are sure you have found the strongest signal.
It sounds like your elevation could be a long way out, in which case you wouldn't find anything. I have set up this system earlier in the year (I was in Norfolk at the time) and the front of the dish was vertical, so I suggest that you start from there. Don't get too hung up on exact degrees, it never seems to work like that.
Have a look at this website:
http://www.satelliteforcaravans.co.uk/ftamain.htmand:
http://www.satelliteforcaravans.co.uk/howtouseameter.htm