You say, "I believe that xUnit creates a new object for each method in that class for testing rather than iterating through the methods of a single (subclassed) TestCase object." That's correct, and that's a classic xUnit design pattern to ensure order independence of individual test methods. See http://martinfowler.com/bliki/JunitNewInstance.html.
Although it's possible to consider adding setup and teardown methods on a TestSuite level, I haven't done so for MATLAB xUnit.
Because of the release of a new unit testing framework in MATLAB itself (in R2013a), I probably will not put further effort into developing my MATLAB xUnit package. If you can upgrade to R2013a, I encourage you to give the new testing framework a try.
This maybe a my misunderstanding of the testing architecture. However, I believe that it would be useful if there were an init method in TestCase. This would be run once to setup particular parameters of dependencies. To illustrate my request further, I am using xUnit to test the submodules of a Simulink model which I am building up with model referenced components. I would like the ability to compile the model once in some init method(to take account of any new changes) and then to turn off the automatic rebuild/checking for efficiency of running the subsequent tests. Is this possible? I believe that xUnit creates a new object for each method in that class for testing rather than iterating through the methods of a single (subclassed) TestCase object.
In the document 'MATLAB xUnit Test Framework: Architectural Notes'
A function: assertExceptionRaised is mentioned, I think it is supposed to read assertExceptionThrown, which actually exists in matlab x-unit unit tests correct me if I am wrong.