I know people who go for test drives with no intention of buying the car, either for something to do, or just to see what the car is like out of interest.
You said you would still be using the service department of this dealer. I can see how you might feel a bit embarassed, but another way to look at it is that you will still be giving them some business, so they are not losing out completely.
And you gave them a fair go at sourcing you the car.
You could just go in, say you've seen one at another dealer (and tell them why its a better car for you) but say you stil havent tested one and could you be cheeky and try one of theirs, even if only for half an hour etc? That would be the honest, up front way and then no one needs to feel uneasy. If they say no, then you will have an indication that maybe they aren't your friend unless they sniff a sale (i.e. salesman!).
However, if you're used to an E85 then perhaps its not so important. I dont know, but I was coming from NEVER driven a convertable, so it was a huge change from a lifetime of hatchbacks etc, but for you its not that drastic.