What evidence do we have about this? Was it just Hal claiming he received them from Satoshi?
Yes, as far as I know Satoshi hasn't said anything himself. So the only evidence we have is the statements made by Hal Finney regarding his communications with Satoshi and that he received the coins as a test.
I was the recipient of the first bitcoin transaction, when Satoshi sent ten coins to me as a test. I carried on an email conversation with Satoshi over the next few days, mostly me reporting bugs and him fixing them.