One man's results
I thought of the same contrast, but AFTER getting rated at sea level. So I took my R22 to high country (Salt Lake & Grand Canyon) and very cautiously experimented with hi DA operations (6000-8000' DA).
A non-issue. True, performance is reduced; but if you're doing conservative maneuvers, then it's just a new set of numbers (lower climb rate, etc) and slightly more lethargic power recoveries. R22 governor gets very twitchy (searching for right combination) , almost overwhelmed, above 7000 DA. No big deal.
ERGO it's probably more economical to train at low-altitude bases, get more circuits-per-hour, less real physical danger in autorotations, etc. Then when you have a chance a year down the line you can self-train when the opportunity presents itself. But BE ALERT--my good fortune was that when low-power low RPM snuck up on me, I was in a 5' hover over sagebrush, astonished to be going DOWN while pulling up on collective. So I landed. No damage. Sadder but wiser. Sea-level reflexes CAN hurt you, just as fixed-wing reflexes can (!? rolling into steep turns with a big dose of PEDAL??).
For what it's worth, I also self-trained on night operations (having had umpteen thousand hours fixed-wing before heli, I had, years before, gone straight to Comm heli add-on, so no night heli experience required). An utter non-event; night is night is night.
Still want to train at high altitude? Most interesting program I've seen is at Prescott, AZ (7000' MSL), where they have an entire 30 hour course on high density altitude flying. Everything you ever wanted to try in thin air, and then some!