Q:

Was this prophecy in Game Of Thrones false?

In the season premiere of season 5, we hear the prophecy about Cersei's future. All of the things the fortune teller tells Cersei do happen, but she also said her brother will murder her.
However, in S08E05,

 She was not murdered by her brother, rather was held and hugged by him while they both were killed by Daenerys' actions.

Why did they not stick to the prophecy as they did with the rest of it?

A:

The prophecy came true but the valonqar (brother killing her) was never a part of the prophecy in the show. In the show Cersei is only meant to be cast down by someone younger and more beautiful... and as she is cast down by someone younger and more beautiful (YMMV) it has come true.

Maggy: Three questions you get. You won’t like the answers.
Cersei: I’ve been promised to the prince. When will we marry?
Maggy: You’ll never wed the prince. You’ll wed the king.
Cersei: But I will be queen?
Maggy: Oh yes, you’ll be queen. For a time. In comes another. Younger, more beautiful, to cast you down and take all you hold dear.
Cersei: Will the king and I have children?
Maggy: No. The king will have 20 children, and you will have 3.
Cersei: That doesn’t make sense.
Maggy: Gold will be their crowns. Gold their shrouds.
Game of Thrones, Season 5 Episode 5, "The Wars to Come"

In the books Maggy goes further to talk about the valonqar but as you can see above this is skipped in the show.

The old woman was not done with her, however. "Gold shall be their crowns and gold their shrouds," she said. "And when your tears have drowned you, the valonqar shall wrap his hands about your pale white throat and choke the life from you."
A Feast for Crows, Cersei VIII

A:

TheLethalCarrot's answer is the simplest explanation.  Though if one wanted to find some way to interpret the full prophecy from the books so as to make the show's depictions to date a fulfillment thereof...
We should keep in mind that prophecies are free, if not required, to be vague and figurative.

"And when your tears have drowned you..."

This is certainly speaking figuratively, as if she was literally drowned by her own tears there would be no need for anyone to be choking any life out of her.  We can think of it as meaning 

When your grief and loss overwhelm and warp you [into an even more vicious and stubborn person]

Now to the second part,

"...the valonqar shall wrap his hands about your pale white throat..."

If we're already being figurative, and we're dealing with a prophecy, why should we be literal here?  It does not have to involve literal hands, it does not have to involve her literal throat, nor does it have to be her literally choking (or being choked).
Let's take the valonqar to be Tyrion, instead.  He is Daenaerys' Hand. After Dany herself, he is the highest ranking person in her faction and commands the siege on King's Landing. He even tells Jaimie that he knows the city's defenses and weaknesses inside and out, and that the city will fall. So we can read this part as meaning

Tyrion, Hand of the Queen, will lay siege to your city and keep...

So that the last part

"...and choke the life from you."

becomes

leaving you no escape but death.

And there you have it, prophecy fulfilled as depicted.

