I can't imagine a reason why Test::More wouldn't work, and in fact, it works for me with current versions of Coro and AnyEvent (and either EV or Perl as event backends).
I think your problem might be that Coro::AnyEvent::sleep returns something that Test::More doesn't like on your system. Assuming Coro::AnyEvent::sleep returns anything specific is looking for trouble anyway - the return value(s), if any, are undocumented, so expecting it to be something specific makes your program rely on undocumented behaviour, and failure is an expected outcome.