"Pretty good" vs. "pretty bad"

Apart from containing bad grammar, yes, the two sentences illustrate a quirk in at least AE. Bad and good mean pretty much the same thing in your exemplars. (A special case, or exception, involves the use of bad to mean good, as in, "That's a bad pair of kicks you wearin.'")

I'd summarize the slight differences between the two sentences as follows:

• "pretty bad" implies/connotes the injury is severe. A person viewing the injury would likely wince when saying "that's pretty bad." Perhaps the (say) laceration is particularly deep and/or is bleeding profusely, or a broken bone is protruding from the skin (an "open, compound fracture"), or the injury simply "grosses out" the observer.

• "pretty good" implies/connotes the injury is not minor, but possibly major. In a sense, "pretty good" is analogous to the exception I pointed out above. Instead of bad meaning good, here good means bad! In other words, in a twisted and ironic sort of way, the observer is complimenting the injured person on how "well" s/he injured the leg.

In conclusion, there is an element of irony in your second exemplar, which makes the sentence a little perverse, but generally acceptable and inoffensive. Moreover, by focusing on the "good" aspect of the injury, the observer diffuses or lessens the anxiety or fear the injured person might experience, better than the word bad!

In the context given, pretty is used for emphasis.

The online dictionaries don't quite capture this use. See, for example:

... To a fair degree; moderately: a pretty good student. ...

-- American Heritage Dictionary