A lot of people will start the game fresh, realize the level of customizability in the game and will want to mess with it, trying to find their comfort zone. There should be a possibility to mess with controller settings in training mode.
Having to change settings, go in training mode, get out, change again, go back in, rinse and repeat, potentially dozens of times is really cumbersome.
Even if it requires an internal reload but reloading you back instantly in the training mode would be huge.