Earlier this year, HN discussed the value of the F-35 (a plane I'm quite fond of!)
During that discussion, one overlooked point was the top speed of the F-35. At-altitude, the F-35 cannot intercept a MiG-31. Flying nap-of-the-earth would be a different discussion, but Russia knows this. Their planes commit an incursion, waited for a response, and then exited once they detected the response. They were in control of the entire intercept, from the start to the end.
This is what we mean, when we say Russia is "testing" us. They want to see if a serious response exists to these threats; an F-35 is a glorified ground-attack jet. It's an amazing piece of kit, but it can't do much besides lob an AMRAAM in a situation like this.