As a counter-example for Fatou's lemma in measure theory: strict inequality can occure! Just take the measure space $\mathbb{N}$ with the counting measure and consider the functions \begin{equation} f_n(k) = \delta_{nk} \end{equation} Then the sum of $f_n$ is always $1$ while the pointwise limit of the $f_n$ will be the zero function having zero integral. If you have this counter-example then you do not need fancy measures and integrals at al to produce examples that in Fatou's lemma strict inequality may happen...
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