Hello T14, Welcome to the forums
I’ll try to answer some of your questions. but take note I am not an expert 
- Training mode is doing exactly what it is meant to in Comodo. I’ll try to give an example, You put it in training mode, play a game - and then it will automatically assume it’s safe.
I’ll give you a quick run down about the modes.
FIRE WALL:
Block All Mode: The firewall blocks all traffic in and out of your computer regardless of any user-defined configuration and rules. The firewall will not attempt to learn the behavior of any applications and will not automatically create traffic rules for any applications. Choosing this option will effectively prevent your computer from accessing any networks, including the internet.
Custom Policy Mode: The firewall applies ONLY the custom security configurations and network traffic policies specified by the user. New users may want to think of this as the ‘Do Not Learn’ setting because the firewall will not attempt to learn the behavior of any applications. Nor will it automatically create network traffic rules for those applications. You will receive alerts every time there is a connection attempt by an application - even for applications on the Comodo Safe list (unless, of course, you have specified rules and policies that instruct the firewall to trust the application’s connection attempt).
If any application tries to make a connection to the outside, the firewall audits all the loaded components and checks each against the list of components already allowed or blocked. If a component is found to be blocked, the entire application is denied internet access and an alert is generated.This setting is advised for experienced firewall users that wish to maximize the visibility and control over traffic in and out of their computer.
Safe Mode: While filtering network traffic, the firewall will automatically create rules that allow all traffic for the components of applications certified as ‘Safe’ by Comodo. For non-certified new applications, you will receive an alert whenever that application attempts to access the network. Should you choose, you can grant that application internet access by choosing ‘Treat this application as a Trusted Application’ at the alert. This will deploy the predefined firewall policy ‘Trusted Application’ onto the application.
‘Safe Mode’ is the recommended setting for most users - combining the highest levels of security with an easy-to-manage number of connection alerts.
Training Mode : The firewall will monitor network traffic and create automatic allow rules for all new applications until the security level is adjusted. You will not receive any alerts in ‘Training Mode’ mode. If you choose the ‘Training Mode’ setting, we advise that you are 100% sure that all applications installed on your computer are assigned the correct network access rights.
Tip: Use this setting temporarily while playing an online game for the first time. This will suppress all alerts while the firewall learns the components of the game that need internet access and automatically create ‘allow’ rules for them. Afterwards you can switch back to your previous mode.
Disabled: Disables the firewall and makes it inactive. All incoming and outgoing connections are allowed irrespective of the restrictions set by the user. Comodo strongly advise against this setting unless you are sure that you are not currently connected to any local or wireless networks.
Defence+
Paranoid Mode: This is the highest security level setting and means that Defense+ will monitor and control all executable files apart from those that you have deemed safe. The firewall will not attempt to learn the behavior of any applications - even those applications on the Comodo safe list. and will only use your configuration settings to filter critical system activity. Similarly, the firewall will not automatically create ‘Allow’ rules for any executables - although you still have the option to treat an application as ‘Trusted’ at the Defense+ alert. Choosing this option will generate the most amount of Defense+ alerts and is recommended for advanced users that require complete awareness of activity on their system.
Safe Mode: While monitoring critical system activity, the firewall will automatically learn the activity of executables and applications certified as ‘Safe’ by Comodo. It will also automatically create ‘Allow’ rules these activities. For non-certified, unknown, applications, you will receive an alert whenever that application attempts to run. Should you choose, you can add that new application to the safe list by choosing ‘Treat this application as a Trusted Application’ at the alert. This will instruct the firewall not to generate an alert the next time it runs. If your machine is not new or known to be free of malware and other threats as in ‘Clean PC Mode’ then Safe Mode’ is recommended setting for most users - combining the highest levels of security with an easy-to-manage number of Defense+ alerts.
Clean PC Mode: From the time you set the slider to ‘Clean PC Mode’, Defense+ will learn the activities of the applications currently installed on the computer while all new executables introduced to the system are monitored and controlled. This patent-pending mode of operation is the recommended option on a new computer or one that the user knows to be clean of malware and other threats. From this point onwards Defense+ will alert the user whenever a new, unrecognized application is being installed. In this mode, the files in ‘My Pending Files’ are excluded from being considered as clean and are monitored and controlled.
‘Installation Mode: Installer applications and updaters may need to execute other processes in order to run effectively. These are called ‘Child Processes’. In ‘Paranoid’, Safe’ and ‘Clean PC modes’, Defense+ would raise an alert every time these child processes attempted to execute because they have no access rights. Whilst in one of these 3 modes, Comodo Firewall Pro will make it easy to install new applications that you trust by offering you the opportunity to temporarily engage ‘Installation Mode’ - which will temporarily bestow these child processes with the same access rights as the parent process - so allowing the installation to proceed without the usual alerts.
Training Mode: The firewall will monitor and learn the activity of any and all executables and create automatic ‘Allow’ rules until the security level is adjusted. You will not receive any Defense+ alerts in ‘Training Mode’. If you choose the ‘Training Mode’ setting, we advise that you are 100% sure that all applications and executables installed on your computer are safe to run.
Tip: This mode can be used as the “Gaming Mode”. It is handy to use this setting temporarily when you are running an (unknown but trusted) application or Games for the first time. This will suppress all Defense+ alerts while the firewall learns the components of the application that need to run on your machine and automatically create ‘Allow’ rules for them. Afterwards, you can switch back to ‘Safe Mode’ mode).
Disabled: Disables Defense+ protection. All executables and applications are allowed to run irrespective of your configuration settings. Comodo strongly advise against this setting unless you are confident that you have an alternative intrusion defense system installed on your computer.