One instance I could think of specifically is that if your character was Free Account it may be easier to train in Dawnport before going to mainland. Another reason to do it is that if you are on a PvP server there would most likely be less players to kill you on Dawnport.
The question if you should do it depends on how you plan on training. The biggest benefit of reaching mainland from a training perspective would be offline training if you are premium account. Training a melee skill offline is 50% as effective as training online. While distance training is 25% effective. You get 12 hours of offline training everyday. This means you would have to train melee 6 hours per day or distance 3 hours per day on Dawnport to get the equivalent of offline training.
If you are able to exceed these training times regularly it may be worth skilling a bit on Dawnport.