Whilst on training...late is late, no exceptions. This is also the case once online, in the event of a major event (i.e. M25 closure, amenisty is sometimes granted). Once your uniform is issued, your have to wear in line with uniform regulations which will be covered on the course and also in details available from the intranet (booklets are subject to availablity).
If you are wearing your own clothes the dress code is business attire, for the guys I'd wear a tie at least on day one. Play it by ear after that.