There was a set piece in I, the Jury that had all of the special effects for a street massacre scene go off prematurely, much to everyone’s consternation.
Especially the head pyrotechnician, who took a very unplanned dagger to the liver amid all the confusion.
Oops, you’re right. I hadn’t seen it since watching it in the theater when it was released, so my memory was fuzzy.
It had O.J. Simpson, though. THAT I remember.
I was thinking The Village, but that’s more “they think it’s real when it’s fake” like the Truman Show.
Random pointless trivia: It also starred Elliot Gould and James Brolin, both of whom were married to Barbra Streisand. But not at the same time, of course.
How about WarGames, in which Matthew Broderick’s character initially thinks he’s playing a computer game called “Global Thermo-Nuclear War”?
There’s the beginning to Scream II where a victim is murdered in front of an audience who thinks it’s just a show before the movie. Quite disturbingactually. She’s screaming for help and no one does anything because they think it’s just a hoax.
Arguably the WOPR computer is a character in that movie (it has dialogue and gets to deliver the movie’s punchline, after all) never stops believing the whole thing is a game, though by the end it’s at least recognized that Tic-Tac-Toe and Global Thermonuclear War are both pointless, futile games.
There’s a similar scene in Interview with the Vampire
This is going to be rather awkward because I’m trying to preserve the spoiler screening, so bear with me.
If he were mistaken about this it would be a case of the main character thinking something is real when it’s fake, which is the opposite of what the OP is looking for. But as Miller says:
I have to disagree with Captain Carrot, who says
This strikes me as nitpickery, not merely because
But because the character is practicing as a child psychologist throughout the movie. He’s trained as a child psychologist, presumably licensed as a child psychologist, and works as a child psychologist. This is admittedly unusual given that he is also a ghost. But if it walks like a duck, etc. In all meaningful ways this character is a child psychiatrist, even though he’s probably not listed in the APA directory.
The main plot twist of The Sixth Sense is a major case of “character thinks it’s real, but it’s fake”, which is again the opposite of what the OP wanted, but I think the movie does to some extent fit the OP. Early in the film the main character is not sure what is going on with his young patient. The boy seems to be under a lot of stress and is acting out in strange ways. The psychiatrist suspects the boy may be the victim of abuse, and when he confesses that he sees dead people the psychiatrist initially believes the child is suffering from delusions. But of course the boy is telling the truth, and this reality is the source of his stress.
I always thought Johnny Cochran should have screened Capricorn One as proof positive that, when his client asserted his innocence, he was not – and could not possibly be – acting.
I guess Dark City fits into the ‘not quite’ category like The Truman Show.
You’re giving OJ short shrift for his epic performance as Officer Nordberg in the “Naked Gun” movies, aren’t you? 
Alfred Hitchcock frequently set up minor characters who think it’s fake when it’s real, to counterpoint the protagonist who knows it’s real but no one believes them. (Kind of a convoluted sentence, but I hope you know what I mean.)
Prime example: in THE BIRDS, several characters (including the sheriff) dismiss the attacks as meaningless (not exactly “fake” but as minor random occurences) with comments like, “Did you provoke them? Because sometimes birds will attack when provoked, you know.”
In THE LADY VANISHES, when the train is captured by enemy agents, there’s one person who refuses to believe that it’s happening (and, of course, gets shot.)
In REAR WINDOW, people don’t believe what the Jimmy Stewart character tells them he sees.
In NORTH BY NORTHWEST, Cary Grant’s mother thinks it was just another drunken escapade, not a kidnapping by spies.
Hitchcock generally doesn’t want to surprise his audience (he’d rather tell them what’s really going on and have suspense build up), so having the main characters deceived by thinking something is fake when it’s real would be fairly rare. It’s usually incidental characters who don’t believe what’s happening. The protagonist (and movie audience by identification) know that it’s real (even if they don’t understand it.)
The reverse is also interesting, where the protagonist thinks it’s real but it’s fake. E.g. VERTIGO, where the whole first bit with Madeline and the portrait etc is an elaborate con.
It’s a Wonderful Life
I think the movie you’re looking for is Quiksand, not the Fourth Protocol. It was Michael Keaton as the bank examiner who visits the movie set only to discover it was a front for laundering drugs/kiddie porn/human trafficking…and whatever.
It’s almost sad that I remember that, as it was really not that good.
How about the Twilight Zone episode where the woman is ugly and about to undergo an operation to make her beautiful? At the end, we realize that she is beautiful and everyone else looks like warthogs.
Not quite the same, but close, is The Producers, where the cast and crew think they’re making a play, but they’re actually part of a con.
Interestingly, the namesake producers think they’re part of a con, but end up making a play instead.
Just the other night I saw an episode of Mission: Impossible where Jim Phelps and team set out to recover the recently-stolen crown jewels of a random eastern European country. They concocted a story that the thieves had stolen fake decoy jewels and that the real jewels would be arriving at the embassy. The thieves were, of course, shocked that the jewels they thought were real were really fake (though they were really real).
Willy then planted their own fake crown jewels at the embassy as well as planting some devices to make it easier to later break in. Barney infiltrated the gang of thieves with a plan to steal the real (fake) jewels from the embassy. After accomplishing that mission, the the hot female leader of the thieves distracted Barney while an accomplice switched their (real) jewels for Barney’s (fake) jewels. Barney then walked off with the real crown jewels, which the thieves had stolen but thought were fake.
How is that an example of the main character thinking something’s fake?
Trivial nitpick - the Three Amigos don’t think they’re in Mexico to make a movie - they think they are there for a personal appearance gig.