Training is important but your time is limited. The desktop app allows you to start each sim based activity in a matter of seconds. Faster loading equals more time to train and improve your career.
Think of games on your phone vs a Playstation. The desktop app is able to take full advantage of more powerful engine to provide sharper graphics and smoother simulations.
Once you get access to an HTC Vive Headset, you will be able to launch the training activity in VR. This fully immersive experience will take you to the future of training.