I want to check whether my implementation of std::random_device
has non-zero entropy (i.e. is non-deterministic), using std::random_device::entropy()
All the standard gives you is what you've already seen. You would need to know something about how a given standard library implements random_device in order to answer this question. For example, in Visual Studio 2013 Update 4, random_device forwards to rand_s which forwards to RtlGenRandom, which may actually be (always?) a cryptographically secure pseudorandom number generator depending on your Windows version and the hardware available.
If you don't trust the platform to provide a good source of entropy, then you should use your own cryptographically secure PRNG, such as one based on AES. That said, platform vendors have strong incentives for their random numbers to actually be random, and embedding the PRNG into your app means that the PRNG can't be updated as easily in the event it is found to be insecure. Only you can decide on that tradeoff for yourself :)