Engine failures are indeed trained quite often, although a non-contained failure like this can lead to multiple system failures if the fragments shatter something essential. Multiple failures (including multiple engine failures) are not trained as frequently. Simulator trained failures tend to be a bit more "clear-cut" than real life as simulator designers select specific malfunctions and try to implement them in a plausible way. "Real life" indications, sounds, vibrations may be different and some effects of shredded metal (like intense vibrations) are hard to simulate.
The basic chance for a pilot to experience an actual engine failure during his/her career is reportedly about 50:50, so the chance of experiencing something like this must be even less. Flying 4-engined airplanes increases the chance a bit, of course ;-)
So while the pilots who brought this wounded bird back safely just did their job they sure had their hands full and more than a good day's work set out for them. While we prepare for events like this during our whole pilot life, we're quite happy to finish our last flight having shut down engines on the ground only.