How to test my Device's capability to support WiGig?

From what I can tell WiGig exists, and is part of the Wi-Fi Alliance. Running in the 60 GHz range means line of sight so streaming to VR headset appears to be a common use case.

While do you don't mention which Android device you are referring to that page does link to a list of WiGig Certified Devices which appears to be chipsets, no routers or mobile devices.

Even if you had such chipsets on your device, it doesn't mean that the antennas or firmware is configured. Given the lack of consumer hardware supporting WiGig, without more detail, I suspect it to be "marketing enthusiasm" rather than a useable feature.

Update

So from the comments, OP has a ASUS ROG II which does market itself to have WiGig, primarily to use the ASUS WiGig Display Dock which makes sense for high-bandwidth video streaming. Companies like ASUS will add in unique features/capabilities to sell devices.

The lack of "WiFi Certified" branding to me seems that while the ASUS ROG II can use WiGig with the ASUS Display Dock, that may be the only thing it is capable of pairing with, at least until you can test with other consumer WiGig devices, if and when they come into the market.