Even when I had a soldier who did juice I never questioned him or anything. I knew what he was doing, and I think he knew I knew. The only guys I knew of who were caught got caught with it in their barracks room during a health and welfare. Here's the catch: the commander was looking to catch them selling coke and never suspected AS (hell, they didn't even know what the gear was when they found it! it took a lab test). The two never tested positive for roids or coke, they were simply drug dealers. This was all at FT Bliss, Texas where you can just walk across the border to Juarez and walk back in the blink of an eye!
To answer your question, no, they don't test for AAS.