The first, and most obvious, issue with that is the storage issue. Either they carry both types of ammunition at the same time, or drop one type in favor of the other.
The first case could be handled by an arbitrary change of allowable ammo capacity, since a quiver only holds so much currently. The second case is a nightmare both in the case of hauling jobs generated by the dropped ammo (said ammo possibly still being claimed, notwithstanding), as well as the multiple "grab equipment" jobs the training dwarves must be issued coming to and going from practice. That would be a great time for a squad to be "caught with their trousers down" if an attack happens. It could be argued that two, smaller, squads could be cycled in and out of training, but the overall efficiency still, quite frankly, sucks. It will have generated dropped ammo clutter, with the associated hauling jobs, for two squads, and there will be a lag time between finishing training for one squad, re-equiping for live fire and reporting to duty before the other squad can be relieved for training.
The second, and somewhat more obtuse, issue is the idea of Intent. The dwarven mind is still a relatively simple AI. Some great feats can be completed with massive amounts of micromanagement, but getting the dwarves to really understand whether this 'training exercise' is intended to use live ammo or training bolts is beyond what they can currently divine, given the current state of development. Case in point: I'm training my marksdwarves on a captured gobbo squad, pitted onto a bridge (cleaning purposes, enough said), seperated from the squad by fortifications. I'd LIKE them to use wooden bolts, to stretch out training and let them get more practice. However the dwarves will be firing at the gobbos as hostiles and may be tempted to drop their wooden bolts where they stand, run like &&&& for the ammo stockpile and run back with =<*Steel Bolts*>= to pepper the semi-nude gobbos in short order, in the absense of some higher level reasoning, and detailed instructions from the Overseer.