If you send a newsletter to yourself as coach, the unsubscribe note in the footer of the communication does not appear because you as coach are not a contact entered in your Console list of clients. The system needs a client status to subscribe someone from communications.
If you want to test the unsubscribe feature, setup yourself up as a test contact and send the communication to you as the test client. We advise that you use a different email address for the test client, in order to differentiate easier the messages you receive from the Console as coach from the ones that you receive for your test client when you are running tests.
Also, you can find the unsubscribe message template (and other automated system messages) in ACCOUNT TAB > Notification Templates > Unsubscribe Communication Footer. Click on the tab to edit the message. If you edit it, click on the save orange button at the bottom.