Training mode will pretty much allow everything to connect to the net so it’s best not to use that. Custom Ruleset will give you an alert if the program wants to connect to the net, then you can completely block it or just allow incoming connections as you don’t want any outgoing ones.
Though you may have to remove the program in question from your firewall rules as it’s probably been allowed as you have used Training mode.
In ‘Safe Mode’ Comodo will allow all connections from programs it knows are safe without alerting you. It will alert you to unknown new programs. Custom Ruleset will alert you to everything trying to connect.
Safe mode is fine if you’re happy with Comodo doing the work. Custom ruleset gives you total control of what does and what doesn’t connect to the net, it’s only as safe as the permissions you give programs so only allow what you are sure is okay. If you’re not comfortable with it there’s no problem with safe mode.