I've known it happen twice.
1st time was myself- early M/C resulted around 5-6 weeks but i was only 19 so I didn't trouble myself too much about it, as by the time the pregnancy was discovered it was essentially all over.
The second time was much later, in a professional setting. A patient attended, 28 weeks pregnant with her 3rd baby. She'd been on depo and done everything right, but she'd discovered she was pregnant when she was around 22-23 weeks when she started to notice movements. It'd been a bit of a shock to her and her partner, but they'd got used to it, and when I met them they were in the process of selling their car to get a new one big enough to fit in baby number 3.
She'd come to hospital quite late at night, concerned that she wasn't feeling baby move very much. When I examined her, there was sadly no heartbeat. It was the first time it'd happened to me, and I've never forgotten it. It was absolutely heartbreaking.
I doubt it had anything to do with the depo provera, as that is just basically progesterone, but after what happened to me, I could never quite shake that feeling off...
Happily, the lady in question was back with us a yeah later, and gave birth to a beautiful, healthy baby girl. So even in tragedy, there is alway hope
Hope i haven't depressed you too much .....