That is one of my favorite and the most ridiculous beliefs I have ever heard. What if I tell you when I was learning to walk in my childhood I have never fallen down? I think you would not believe this as everybody is falling down when they are making their first steps. And guess what, same is here.
When you are starting your professional career and beginning to obtain the project management domain, most likely you do not know everything about the processes, documentation, possible risks, and issues. And what is more important, you do not have experience yet to define common cases just by the smell.
Experience is a vital element in this picture. You are getting wiser during life, and you are getting more skilled during the professional experience. Failures are a big part of this journey. Otherwise, if you have not had any failures behind you would not know how to make things better.
Therefore, if someone tells me they never had failed projects or milestones behind, I would consider this either a fake or that the person does not have enough experience. So, having failures is not bad, this is natural in the professional path. However, the crucial thing here is to acknowledge the mistakes, to learn the lessons, and to act wiser next time.