Well, it's just how Campiones are, they just do the things they like and best at.
If you wanna be a martial artist Campione, you'd better be straight up as godly as Doni or Luo Hao which is practically impossible for human, else don't even bother.
And I doubt even ones as talented as Erica, Lilianna and Ena wouldn't be able catch up to Doni and Luo Hao (martial arts aspect, excluding all the Campione related powers).
However, IMO, "training" is possible for Campione, but it requires a training partner with the calibre of a god or Campione. If I were an immortal and indestructible god, I'd take him the the Astral Realm (I think that's where Susanoo lives) and force him to fight non-stop with the intention to kill him
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I think one of the reasons why normal training won't work with someone like Godou is because he's only filled with power when in serious battles. If he just trains "normally" (like any human being does - Erica for example), it'll be just like trying to get better at driving a racing car without even starting up the engine, and if you do this....yeah like there will be some results.