So in the current version (40.24) I'm noticing with a training barracks assigned they will have demonstrations but they won't spar, out of ammo or not.
No sparring seems to mean no armor/shield training.
I don't recall having an issue with this in prior versions. Normally I give all my military full steel armor & a wooden shield, marksdwarves too. To me, the benefits of armor & shield outweigh the drawbacks by far.
I'm hoping it is just because they haven't had a lot of time to train and will get around to it, curious what others have observed.
The sparring wont start until they reach ~ weapon level 5
Actually it's more like 2-3. But hammerdwarf would be the appropriate skill which they would not gain with only crossbows.
I'm seeing mixed results now across different savegames. That particular game I had a full squad of marksdwarves and I hadn't seen them spar or train armor/shield.
Another I'm actually seeing armor/shield demonstrations. The squad of 4 started with armor 5/shield 3 (custom 20 embark) so it seems like someone needs to have a few levels of skill to give a demo. I've got them armed with hammers and daggers (lot of dead kobolds) and they like to use all 3 sparring, but in actual combat they are just as likely to bash with the xbow as anything else so as most others have said it is not really recommended. Even a steel xbow only weighs 3 so it's not much of a melee weapon.
As for training, will they ever stop? Like at legendary +5? Or do you need to take away their access to archery ranges at that point. The sheer amount of ammo they can consume is ridiculous.
A couple other thoughts. I have noticed, and this is with DFHack armory-fix enabled, that assigned ammo will be moved by haulers to chests in barracks assigned "store squad equipment" and that the squad will then pickup that ammo as needed. I don't remember what vanilla behavior is, but this is definitly worth using to your advantage if you use dfhack (especially if you don't use QSP).
The armor thing. Steel gloves and boots weight the same as leather (not positive about bronze since it is heavier than steel) so if the metal isn't an issue then you're better off with them. Helmet is slightly heavier but being the lifesaver it is I think it's worth it. Body armor, the weight difference is significant but in my experience it doesn't seem to matter. Also greaves and leggings weigh about the same but the greaves give superior protection. So in a nutshell, depending how well setup one is to ensure their marksdwarves can't ever take return fire or melee damage one may want to consider better armor for them (or even no armor if they are always going to be behind fortifications).