I recently had the finger through palm reality check fail as well, after I had observed my family disappear into thin air. That's when I decided that since I was not dreaming, I must have gone completely crazy. And in the rest of the dream I was kind of panicked because of my mental state, since things were happening that do not happen to sane people in waking life.

Another time though, I was on an elevator when I noticed someone pulled out a card table to play poke there. But I had no problem with that. What got to me was that the elevator buttons had the numbers in the wrong order. So I looked away, looked back, but the numbers staid unchanged! However, that time I told myself "screw that, I know I am dreaming!" Regardless of RC fail. And at that point the elevator buttons obliged me and rearranged themselves, into a different wrong order.

So yes, RC fail happens.