Danny:
I cannot speak as to what training the Army types may have gotten for evasion or possible capture, I am sure they must have received some.
In Bomber Command, Dad did receive many lectures on evasion. Their superiors did not hide the horrific casualty rate ( one third of all crews would be captured) although they did 'massage' the aircraft losses a bit, as has been covered earlier.
Subsequently, they were given detailed instructions on how to blend in with the locals, modify their battledress to some degree to not be as conspicuous ( at least at night), and were issued a rudimentary evasion kit. This often consisted of a basic map of Europe printed on rice paper ( so could be eaten to hide it) and crude compass, and a few emergency rations. Some squadrons ran drills where crews were dropped off in civvies, no ID or money, 20 or so miles from base and told to find anyway they could back without being caught. I am not aware that Dad ever did that.
Lectures were given on a frequent basis, as were, naturally well attended and well received-they all knew the risks they were facing.
Jeff