I remember that confusing me the first time I saw it. There was no indication that the training had taken place... I had to record my stats beforehand, train, and then check to see that it worked.
Law is absolutely right on once per guild, too. And let me add one more note that I've made... try to save quest completion until just after you change classes. I don't know how many times I've completed a quest, gotten a measly 1000 XP, and then changed class, only to realize that those "measly" 1000 XP would have put that character to level 2 in her new class...
I'll also adventure long enough to raise one level, level up, and get ready for a second level. Go into town, visit all your guilds, level up in the last one, and visit them all again. Two rounds of training for the time of one! What a deal!
Only time that stinketh is when you level up four or five times... then you waste those training rights, as Radek mentioned.