I'm asked to prove that $N_x - M_y = f_3(x, y, z)$, but:
$N(x, y, z) = \int_{x_0}^{x}f_3(u, y, z_0)du - \int_{z_0}^{z}f_1(x, y, u)du$
$M(x, y, z) = \int_{z_0}^{z}f_2(x, y, u)du$
So:
$$\begin{align} N_x &= \frac{\partial}{\partial x}(\int_{x_0}^{x}f_3(u, y, z_0)du - \int_{z_0}^{z}f_1(x, y, u)du) \\ &= f_3(x, y, z_0) \cdot \frac{\partial}{\partial x}(x) - f_1(x, y, z) \cdot \frac{\partial}{\partial y}(z) \\ &= f_3(x, y, z_0) \end{align}$$
$$\begin{align} M_y &= \frac{\partial}{\partial y}(\int_{z_0}^{z}f_2(x, y, u)du) \\ &= f_2(x, y, z) \cdot \frac{\partial}{\partial y}(z) \\ &= 0 \end{align}$$
Thus:
$N_x - M_y = f_3(x, y, z_0) \neq f_3(x, y, z)$
So, can I automatically say that the exercise is wrong because what they are asking me to prove is false or is there something I didn't see or is there another method to prove this?
The derivative $$ \frac{\partial}{\partial x}\int_{z_0}^{z}f_1(x, y, u)\,du $$ is wrong in your solution. It equals $$ \int_{z_0}^z \frac{\partial f_1}{\partial x}(x,y,u)\,du. $$ Likewise when you do $M_y$.