I tried another experiment embarking with 3 dwaves - Proficient Teachers, and Armor User, Shield User and Dodger. I then had these 3 dwarves train up to legendary miners, and recruited them. A 4th dwarf Proficient in most fighting skills turned up in the first immigrant wave, so I also trained him up to Legendary miner and recruited him too.
It was particularly interesting to look at their sparring results, Legendary miners parry A LOT. Apparently one of the main functions of weapon skill is parrying. Shield User trained via sparring quickly and consistently for dwarves who had it. What I am thinking, is that in combat, there is a preference for defensive skills:
1st Blocking is tried (shield)
2nd Parrying is tried (weapon)
3rd Dodging is tried.
4th Armor is tried.
This would mean that it's very hard to train Dodging and Armor User if a dwarf has a weapon and a shield and is good with them, but it's easy to train shield because it always gets priority as a defensive move.
What I still haven't managed to figure out is why dwarves with a high weapon skill, train shield more quickly. Maybe there is some kind of penalty for using (different) equipment in each hand, and a high weapon skill negates that penalty, allowing the shield to be used more effectively. This might explain why in arena results, having a shield can actually be a disability vs just having a single weapon. It would also explain why a dwarf with only a shield trains shield user more quickly - he can block more effectively because he's not also ineptly trying to use a weapon. This is the explanation I'll provisionally accept.
In any case, I wasn't particularly impressed by the Legendary Miner squad. It did take them a few months to train up their mining skill, during which time they could have been developing their student skill. And they never become "real" military dwarves". On the other hand it was nice to have a tree farm and my fortress all dug out. Given the extreme importance of weapon skill, it seems like a great loss for the new teacher to be unable to teach weapon skill (yes yes you can get a miner-recruit to mine first, but that's work).