Oh. Bloody un-intuitiveness...
It's easy to swing an axe at somebody in hopes of doing some damage even you've never held an axe before... there's a big sharp end and a handle- the dumbest dorf can figure out which end should be in contact with which party.
Crossbows require loading, aiming, pulling a trigger... all manner of intricate things. And then you run out of ammo and you have to be smart enough to go get more- that means turning your back on the enemy! These are all things a newbie marksdwarf has to deal with... it's really a rough life.
Newbie marksdwarves are extremely bad at figuring out all the above. Especially getting more ammo- after they blow their load of bolts (all of which will probably miss), they tend to just stare at the enemy and catch arrows. If they can path to the enemy they'll choose to use their crossbow as a club- it's much easier than figuring out that tricky loading/aiming/firing thing- and soon you'll have hammerdwarves (with weak hammers) instead of marksdwarves and they'll forever prefer to just beat their opponent to death.
So yeah... training is pretty important for marksdwarves. There are several threads in this forum about setting up a successful archery range & marksdwarf squad.