There really isn't any "training" per se in the game. Like at the beginning of the game when you get your first capture, they're ready to go in the strip club. They're basically like dolls in that state. Upgrades just allows them to do more "advanced" things at the club and eventually the brothel. Unlocking the device after all those upgrades is what sends them to the cells, where they'll be stuck there as Lex's experiments/playthings. If you want them to go back to the club or brothel, you need to reset the device and upgrade it to the appropriate level again.
Basically, only do as many upgrades as you need to see the content you want in the club/brothel and then later unlock the device to see the cell stuff.