One problem lies in the unlockables/drops. New players, whom are the most likely to utilise the training facility, are the most likely to not have weapons unlocked.
Teaching a scout to FaN jump would be problematic when the chances are the player doesn't have a FaN with which to do so. A lot of things like said Scout movement and other things like Heavy survival tactics/weapon effects will be difficult to demonstate any more efficiently than actual gameplay and the GUI weapon stats.
I find this endeavour by Valve to be largely redundant and much more easily achievable through video tutorials like the black and white video tutorials before unique game modes such as Arena.
Ever since I began playing TF2 in 2007 I have considered it a game best learnt by playing, which makes the tutorials and offline practice both silly inclusions on Valve's part. However, looking at the game in any depth right now in 2010 compared to what it was in 2007 reveals a massive shift, from a simple, streamlined game to a complex game with many little details.
I think Valve realised this as well, and as the last class update approaches, wanted to start laying a base for new users to start at, because at this stage, jumping into a public game as a new player could potentially be extremely overwhelming. And depending on whether they cycle through another series of class updates, it could quickly become even more so, not to mention the inclusion of community weapons, adding more gameplay complexity.
Training mode strips TF2 down to the very basics of what every new player did: choose Soldier and figure out what's up. Whether or not you agree that players should need this, it's functionality exists. On top of this, with the expansion of TF2 to Mac (and some hints at Steam coming to Linux), Valve is massively expanding the market for the game, and likewise, are having to deal with the presence of a completely new user base. And what they do not want is a massive rush of people trying out their game, but ending up overwhelmed, lost, or confused, and not purchasing it.
As experienced players, we can easily frown on it, but in all fairness, for Valve, this was a necessary, if not brilliant move, at bringing new players- a business decision more than a game decision. Same goes for the new menu: they've probably wanted make something better and more fitting than the default Source engine menu for a long time, but the Mac update- and any future platform expansion- pushed the necessity of it to the forefront. Again, experienced players will be resistant to change, but what they've done is made a much improved, highly readable menu that conforms to the aesthetics of the game's UI, improving the experience for new players.