Yes, the training commands within SpamSieve are only available for messages where SpamSieve is storing the full message data. Log entries imported from SpamSieve 2 (mostly) won’t have this data, nor will ones that were automatically pruned.
The pruning takes place periodically in the background, not immediately after you change the number of days. When pruning happens, there will be a log entry telling you this and saying how much space it saved.
The above setting reduces the size of the log entries by removing the full message data, but you would still see the same number of entries in the log. This is because (as with SpamSieve 2) it is storing the basic message information such as the subject and date. This does not take very much space and is used to calculate the accuracy statistics.
That said, if you really want to completely delete the log entries, you can select them and press the Delete key. It will let you select 1,000 at a time. A future version of SpamSieve will provide more settings for automatic pruning.