Let $A \in \mathbb{R}^{n, n}$, $B \in \mathbb{R}^{n, m}$, $C \in \mathbb{R}^{m, n}$ and $D \in \mathbb{R}^{m, m}$ be matrices.
Now, I have seen on Wikipedia the explanation of why determinant of $\left[\begin{matrix} A & 0 \\ C & D\end{matrix}\right] = \det{A}\cdot \det{D}$, but I still did not get it.
Specifically, the explanation is:
This can be seen ... from a decomposition like:
$\left[\begin{matrix} A & 0 \\ C & D\end{matrix}\right] = \left[\begin{matrix} A & 0 \\ C & I_{m}\end{matrix}\right]\left[\begin{matrix} I_n & 0 \\ 0 & D\end{matrix}\right]$
I understood that the equation is true from the standard rules of matrix-matrix multiplication, but it is still not too clear why this should prove what we want to prove or show.
If $A$, $B$, $C$ and $D$ were regular reals (and $I_{i}$ was $1$), then the equation and the explanation would be obvious, because of the standard rules of calculating determinants...
But in this case, I cannot understand why the equation shows that the final determinant is $$\det{A} \cdot \det{D}$$
Those 2 matrices $\left[\begin{matrix} A & 0 \\ C & I_{m}\end{matrix}\right]$ and $\left[\begin{matrix} I_n & 0 \\ 0 & D\end{matrix}\right]$ basically could not be triangular or diagonal matrices, from my understanding...
You have mentioned that if $I_i = 1$, then the formula follows obviously. In fact it is meaningful, as it serves as a base case of an induction (on the matrix size $m$ and $n$ respectively).
The two matrices are called block triangular matrices. They are not triangular matrices themselves, but has a similar triangular pattern with each entry replaced by blocks. You can view this block triangular determinant formula as an extension of $$\det\begin{pmatrix} a & 0\\ c & d \end{pmatrix} = ad$$ This factorization is useful because the $(m+n) \times (m+n)$ determinants can be reduced to smaller ones, namely $m \times m$ and $n \times n$. The easier one is to see that $$\det\begin{pmatrix} I_n & 0\\ 0 & D\end{pmatrix} = \det(D)$$ As $n = 1$, then it follows trivially from the definition of determinant. Assume it is true for some positive integer $n$. Then $$\det\begin{pmatrix} I_{n+1} & 0\\ 0 & D\end{pmatrix} = 1\times \det\begin{pmatrix} I_n & 0\\ 0 & D\end{pmatrix} = \det(D)$$ by the definition of determinant again. By induction, the formula is true for all positive integer $n$.
The other formula is a little more difficult to prove. $$\det\begin{pmatrix} A & 0\\ C & I_m\end{pmatrix} = \det(A)$$ In particular, the following explains how to do the induction step on $m$. The determinant of the transpose of a matrix is the same as that of the original matrix. Therefore $$\det\begin{pmatrix} A & 0\\ C & I_{m+1}\end{pmatrix} = \det\begin{pmatrix} A^T & C^T\\ 0 & I_{m+1}\end{pmatrix}$$ Leibniz's rule allows us to expand the determinant not only on the first row, but any other row. In particular, expanding through the last row tells $$\det\begin{pmatrix} A^T & C^T\\ 0 & I_{m+1}\end{pmatrix} = (-1)^{2(m+n+1)} \times \det\begin{pmatrix} A^T & B^T\\ 0 & I_{m}\end{pmatrix} = 1\times\det\begin{pmatrix} A & 0\\ B & I_{m}\end{pmatrix} = \det(A)$$ where $B$ is the matrix obtained by deleting the last row of $C$. At the second last equal sign of the last equation we use the property of the determinant of the transpose again. The inductive hypothesis is used at the last equal sign.