I have never had a problem yet either thankfully but I have seen and heard of many that have.
And most of the time its just a huge misunderstanding, that doesn't change the fact though you are then barred from the US including transfer flights.
Some bring problems on themselves with insurance issues as well. I know double figures of people who can't go back because they have left without paying medical bills.
The whole immigration thing takes months of getting things sorted and costs you money. And their is a small chance that everything can come un done due to some idiot having a bad day at work. This will mean that you forfeit any deposit you have paid, airline tickets wasted etc etc.
Going to Europe for training on the other hand just costs you a Ryanair flight. Medical is on your home country's ticket and significantly cheaper travel insurance.
I think that lad at Ormond beach that crash and got burned has now got a half mill dollar medical bill.
The pain in the backside immigration is just one issue, if you do things properly and get all the other cards in line training in the US costs the same if not more than training in Europe.
Oh and if you have an issue with the school in the US you have zero chance of getting your money back. Your backside is on a plane out of the US before you can say visa cancelled.