Do you realize Curiosity has been on Mars and sending data ever since then? Do you think that if they were hiding it in Canada, there would be no kink in this story for nearly 8 years?
Are you saying all those photos movies from Mars (which NASA says were sent by Curiosity) are fake/CG? (Including the one with the flapping parachute on landing?) And if all those are [easy to] fake, what would a single [extra] test movie on earth prove?
Note that the Curiosity parachute, which was considered (quite) critical was extensively tested, but mostly in a wind tunnel because dropping it from a helicopter [which was done] turned out to be less informative as filming it at high speed (and up close) was the most important info collected. (Even for the newer 2020 rover [named Perseverance], a single real drop test of the parachute was performed--and not with the actual rover as load--because of the 100-fold difference in atmospheric density between Mars and earth.)
For the [Curiosity] crane retro-landing stage
Still, a real-world sky-crane landing has never been attempted, even on Earth.
"After extensive discussion, it was determined that the modifications needed to perform such a test in Earth gravity and atmosphere would result in extremely limited value from the test," Rivellini said. Mars's gravity is about a third that of Earth, and its atmosphere roughly 99 percent thinner.
So the radar that controlled when the rockets are fired was tested separately. The whole Curiosity retro-landing system was only simulated.
And that was indeed a chance they took. The same article discusses how Beagle 2 presumably failed to land properly although more recent data suggests that it failed to deploy properly (its antenna and/or solar panels) after landing. In general, the success ratio of lander missions to Mars hasn't been so good: "Two thirds of all landers sent there have crashed or lost contact with Earth, and half of the missions launched haven’t made it to the planet at all."
There a more in-depth Nat Geo video that discusses why the traditional alternatives (airbags, leg lander) were rejected for Curiosity. The 2020 rover will also use a sky crane, so I guess we'll find out how lucky the solution is/was. There was a separation test for the 2020 rover, but no real drop test, as far as I can tell (let alone one in which the retro rockets fired).
The much older Viking program also used retro-rockets to land on Mars, although not detachable ones (i.e. no crane, since the Vikings didn't have wheels so there wasn't a worry that the rockets can become entanglement points later). You might want to inquire about this further on Space SE, but it looks like a full landing test wasn't performed on earth for those either, only separate parachute (p. 11) or drop tests for the legs (p. 39) etc. Actually (p. 40) they did conduct four high-altitude tests (at 36 to 43 km high in earth's atmosphere) for the Viking vehicle's initial deployment of parachute etc. And a landing shock (drop) test for the fully assembled Viking lander was conducted 3 times (p. 48), but not with the retro rockets fired, but simply dropped from a height that would simulate its designed landing velocity. (This is quite similar to the video you saw for Curiosity). Additionally for Viking they conducted "pyrotechnic shock tests" to verify that nothing (internal) was disturbed by the firing of the rockets, but no actual landing under rocket power as far as I can tell.