The purpose of a documentary is to educate viewers. If people are not entertained that is okay, but if the don't go away educated in some way it failed.
The purpose of a movie is to entertain, so it if isn't entertaining it also isn't good. It might also be educational, but that isn't the purpose.
What documentary directors know is that if you are not at least somewhat entertaining viewers will not watch and so they put in some entertainment aspects even though that isn't the purpose. Movie directors know that they need not tell the truth, though often they will just because viewers will believe the movie and potentially change behavior despite that not being intended and so morally they sometime feel a need to show someone doing something that works even though it isn't required and some do not.
Of course where the line is, is often blurry. Some movies are intended as documentary except that they are propaganda and so we would call them fiction. Many documentary are primarily entertainment, with the minimum education to claim documentary.
Rocky was clearly intended as an entertaining movie. The directors put enough effort into finding truth about boxing training that you won't go too wrong treating it as a documentary - but if you really want to be a boxer there are better sources to learn how and you will discover some things they got wrong for plot reasons.