The training definitely needs fixing, especially lessons with several dwarves. They also don't spar enough.
As for the marksdwarves, you can get them to train pretty consistently but that silliness with the wood and bone bolts needs to be fixed.
And in general, the way they go about getting their armour and weapons on can be very frustrating.
I was wondering how you guys do live training. It used to be so easy to take a goblin's weapon and throw it in a pit but now because of them escaping every once in a while, how do you do it? Do you always build the cage and link it to a lever?
Training bolts vs combat bolts seems to be a genuine issue for Marksdwarves. Although I've haven't really experimented much with it. It seems to me that the squad would take far too long faffing about looking for the right bolts when a surprise attack was launched. Better a hail of wood than nothing at all.
As for sparring, how often do you want them to spar? For a vanilla, unmodded game it can take up to 5 years for goblins to turn up. I never rush into building squads but even so, most of what I do scrap together are close to legendary status by the time anything worth fighting shows up. When they're not sparring they're still building skills by either drilling (discipline, stops them freaking out when goblins arrive), dodging (good for when goblins try to hit them), biting (great for shaking elephants about by the head) or "combat training" which is...probably good for something!
I think it would be nice to see them move about a bit during their other training though, it's kind of boring to watch them all just standing there. Hopefully that's easily fixed now that complex dance moves are in.