Heyo,

Each main has it's own progress, so if you change main, you'll basically have to cancel the training which you're progressing at the moment.
If you decide to change main after you completed a skill fully, don't worry, you won't lose the progress. You're free to decide basically which skills you can train, but you'll have to complete them.

If you stop/cancel a training, the progress of the finished missions will be lost.


Hope it's more clear