If the NORMAL option is specified in the FIT statement in the MODEL procedure, the results for the Henze-Zirkler T test are incorrect.

As a circumvention, you can use the Mardia Skewness test and the Mardia Kurtosis test to test for multivariate normality. These tests are also printed by the NORMAL option in the FIT statement. For more information, see the "Testing for Normality" section of the PROC MODEL documentation under "Details: Estimation by the MODEL Procedure."