Tail rotor failures do happen. Every year in Canada there are accidents attributed to Loss of tail-rotor or loss of tail rotor effect (LTE), though the later is more prevalent.
Though more accidents are attributed to collision with terrain there are still a significant number attributed to tail rotor issues .
I know one pilot who has expeinced 2 (two) complete tail rotor failures during his career. I think it is still worthwhile to train for it .
From the report in the link:
"The helicopter lost tail-rotor authority while in a hover at low altitude, positioning a heavy load. The pilot could not regain control before the helicopter crashed."
http://www.tsb.gc.ca/en/reports/air/...8/A02W0178.asp
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The pilot lost yaw control when the tail-rotor drive shaft's splined drive became disengaged from the tail-rotor transmission input gear"
http://www.tsb.gc.ca/en/reports/air/...7/A01P0047.asp
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