I think this is an important distinction to make as well. Every trader will have a trade that loses money at some point. Even the best strategies have draw-downs and losers, but as long as they were par the course for your technique or strategy, then there is nothing really to be upset about...
I know that in the case of NinjaTrader, you will not have to switch brokers just to use the Market Replay feature as that is completely free and does not require a broker connection.
However, when you decide to start placing live trades with NinjaTrader you will need a supported brokerage...