Heya,
It's a very common question because an SSR cannot be tested in the same manner as a traditional electromechanical relay. First, you cannot simply connect a multimeter to the output of an SSR and measure the resistance when the input signal is applied. It won't work. The reason is that an SSR has no moving parts and relies on the line voltage to trigger the SCRs in the output. A multimeter will not provide enough voltage to do that.
If you're up for a bit f light reading, here is an article on how to best test a solid state relay (shameless plug... I wrote the article...)
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More information is available here.
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You definitely need a load or else you will short the AC mains and destroy the SSR... probably trip a few circuit breakers in the process, as well. However, you should not need to connect anything in series with the input. That's one of the advantages of an SSR over discrete components; the input circuit and isolation are already built-in.
Hope this helps!!