I’m not sure about this, but the number of people who didn’t “get” the end-of-show film in all those Rush gigs seems to be rather high.
It all comes about from the 2009 film, I Love You, Man – a comedy about two guys who become friends and discover that they are both Rush fanatics. Rush was persuaded to appear in the film – playing “Limelight” on stage - and the two characters ended up on that end-of-show film as a return favour.
The film has been shown regularly on Sky TV for the last couple of months.
The IMDb description only mentions Rush once in the synopsis, though they are listed as cast members (each as “Himself – Rush”), although the band is quite a significant part of the plot, especially early on.
The Wikipedia entry is more informative (assuming it is correct – you can never be 100% certain with Wikipedia):
Rush was approached by Hamburg [the director], who is a fan, to appear in the film. Even though the band does not normally perform in movies, they decided to do it. The shooting schedule was tough because there was a one day window between two of their concerts on tour. The band later said the whole experience was fun. Hamburg felt that “once Rush got that I wasn’t poking fun at them, that I’m genuinely a fan and the main characters of the movie are fans and it’s kind of a loving tribute to them, I think that’s when they came on board.” Subsequently, both Rudd and Segel appeared in character as Peter and Sydney alongside the members of Rush in a short video which closes the band’s 2010 Time Machine Tour shows.
The film is actually quite good, and it was reasonably successful at the US box office.