I've heard having lucid dreams is also associated with a higher probability of having sleep paralysis. Stopped thinking about training right there.
I don't remember my dreams often and when I do they're very weird—I never see my own arms and legs and feel like a camera—and even if the weirdest things happen I never realize it's a dream until I wake up.
While unpleasant, confronting the feeling of overwhelming terror, complete paralysis, and audio, visual, and somatosensory hallucinations, ultimately helped me become more comfortable with my fear of dying. Sometimes unpleasant situations can serve as fertile environments for personal growth.
SP was often discussed in lucid dreaming forums. It's unpleasant but not really dangerous. I've induced it a handful of times; it's a state between wakefulness and sleep and the value of inducing it is that you can just roll out of bed into a dream version of your room.