Not a solution as such, but you cannot implement your own SecurityManager subclass, possibly delegating all calls to a "pseudo-security manager", which in turn will mock EasyMock / like? Then you can install this SecurityManager with System.setSecurityManager().
If you know what your applet should do, you can skip the test depending on your requirements.
I may have missed what you want to achieve, but this seems like one possible approach.
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