1. It appeared that mounted goblins were trying to stay on their mounts even when the mounts were in cages. I don't know if this was what was going on, but i had a large number of goblins that just stayed in my false entrance, right on top of their mounts that were in cages.
2. Does having a militia captain with good armor/weapon skills help training?
3. Does your militia commander do anything?
4. I assume the captain of the guard is only for justice.
5. I have heard people say that they have used 1 dwarf to clear entire invasions. Do you just need to capture small animals and beat them senseless with practice weapons till you get a legendary military dude?
ok here goes.
1. no clue but Its possible that you captured/killed that squads commander. that has been known to cause that behavior.
2. not for training, the teaching skill however does.
3. yes absolutely. if nothing else he is a normal member of your military when it comes to fighting. plus he's what you zoom to when you use zoom to squad and the rest of the squad has a habit of following him around like lost puppys
4. yes and no, his squad will be your fortresses police force (beatings and hauling people to jail, so most people give them weak weapons. note not no weapons or they might decide to administer "Stranglings" instead.) but it can also do all the things a normal squad can do. a decent jail setup can stop or at least severely reduce the number of beatings/killings they administer.
5. if your going to use creatures for training I'd go with unarmed goblins rather than critters. seemingly harmless creatures can often slaughter entire fortresses.
or on the other hand you can go the "danger room" route a training room filled with upright spike traps filled with wooden TRAINING spears (attached to a lever on repeat.) builds skill levels unbelievably fast. this is often seen as an exploit but then so are cage traps
the danger room is faster but the helpless gobs have the advantage of being able to train marksdwarves. who are much better ageist things you'd rather not fight at melee range (posionous, on fire, flying, ect.)