Factual error: When Madonna greets her audience for the kick-off night of the Blond Ambition World Tour in Tokyo, we're actually seeing the second show, not the first.
Factual error: Supposedly the live footage is filmed in the United States (she even greets the audience by saying 'Alright America do you believe in love' but they zoom out so far that you can't see her lips moving). In the United States Madonna was wearing the ponytail. In all the live footage she has curled hair. This means the show was actually filmed in Europe (according to the credits, it was in Paris). There are several references to the live footage being filmed in America, especially Like a Virgin in Toronto and Keep it Together (the technical problems) in Los Angeles, even though that footage was also filmed in Paris.
Factual error: In Los Angeles Madonna complains about her sound not coming out of her headset microphone. She then lists the songs during which this happened. One of the songs she lists is Into The Groove, even though she is not even wearing the headset microphone during this song.
Suggested correction: There are two separate issues regarding the sound. The mic cutting out and the monitors. She states the monitors kept cutting out, and she can't hear herself. She has no inner ear monitors (as they weren't really a thing at that time) - they are basically speakers on the stage, so she can hear herself sing, but if they cut out, she can't hear herself. Also, mic cut out on her regardless if she used a hand mic or used headset. She never specified her headset when talking about Into the Groove.
Factual error: When Madonna says her prayer before the final show of the tour, the footage accompanying it should be from Nice, France. Instead the stadium we see is Wembley Stadium in London, England.
Continuity mistake: When Madonna is talking to Chris after the show in Detroit, her ponytail is removed first, then it's back on, then we see it getting removed again.