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Most times, you don't want this test to return true indeed. Imagine testing a==b and having a true result when both a and b are undefined; this would make little sense. It is the same with NaN.
While it is not the original question, note that you can test equality assuming NaN 's are equal:
But with that you usually want to test if "behaviors" are the same (and not equality per se), e.g. if two functions return the same number or both NaN do something, else do something else.