If you make a mistake in training, fixing it is as easy as moving it from one sane folder to another. Just move the email back to the folder in which you want it to be located, and it is retrained, with the exception of SaneBlackHole trainings. You have to retrain your SaneBlackHole training mistakes by going into your SaneBlackHole Trainings page and using the drop down menu in order to retrain them.
You can also see and correct your other trainings any time on your SaneBlackHole Training page, too. You can also completely remove the training all together by clicking on the Trash icon at the far right of your screen.