Learn French: C'est une épreuve très rude.

No, it is a false friend. In French, rude means harsh, tough, or rough (like a tough ordeal or a rough winter). If you want to say someone is being impolite, you would typically use impoli or mal élevé.

I have seen épreuve used for school exams. How does it mean "ordeal" here?

une épreuve broadly means a test or a trial. Depending on the context, it can refer to a school exam, a sporting event, or, as in this sentence, a difficult life experience that tests your endurance—an ordeal or hardship.

Why do we use C'est here instead of Elle est, since épreuve is feminine?

When you are identifying or describing something using a noun modified by a determiner (like une, la, or mon), you must use c'est. You would only use elle est if it were followed by an adjective alone, such as in the sentence Elle est rude.