Well, after two hours of reading instructions and ten attempts to make this $@#! schedule system work, new military system doesn't seem to be SO bad. But it's still bugged, that's truth.
I've managed to make two of my dwarves take crossbows and start practice. Having spent one full quiver of bolts each, they stopped (job status: "cannot follow orders"). Then I sent them for shooting local turkeys. They'd succeeded in this object, then filled they quivers again and had some practice at shooting target. And it happend again: after quivers had got empty, dorfs stopped training and status "cannot follow order" returned.