How would the adventurer learn to train these animals? In dwarf mode, the dwarves run away from the animals unless they're caged... how would our adventures capture these animals let alone have the knowledge to train that specific animal? A civ which has the specific knowledge to train a certain animal may offer these animals for sale in their market place, whats to say these animals won't just run back to their original owner, as they were trained by them... . I'm sure we could just work around that by transferring the ownership and what not, but eh...
Well, since war-trained and hunting-trained animals now are considered work animals and not pets(unless you give a pet itself such training) in fort mode, at least ones you buy initially on embark, dont think the running back to the original owner thing will be much of a problem. I might be off-base in my assumption though since my knowledge of scripting is beginner level, but I imagine that getting working animal companions wont be too much different than what's already coming with the next update:
"Mounts
Can buy them as with livestock, handled as with livestock
Combat move/speed split
Movement speeds, turning and inertia
Combat effects (velocity addition, body part selection, trampling)"
"Raising livestock
Farms associated to entity population sprawl
Ability to buy a livestock animal and lead it around
Keep track of your animals as with hunted animals so they are not easily and permanently lost
Ability to build fences (more than one fence tile per tree used, as opposed to wall)
Ability to perform decisive attacks on unsuspecting or heavily injured opponent (a cow being slaughtered, for instance)
Tracking livestock breeding/pregnancy information
Grazing and drinking for livestock
Eggs, chickens and associated objects"