Can I train the Antispam Engine?

Yes you can train the Endian Antispam Engine.

You have to be using the SMTP Proxy for inbound and outbound scanning of email and your local domains need to be configured in
Proxy > SMTP > Local Domains.

To train the Endian Antispam Engine, attach the spam message in an email and send the email to spam@spam.spam.
You can also train the Endian Antispam Engine to recognize non-spam or ham emails. Take the legitimate email message, and attach it in a new email. Send the ham email to ham@ham.ham.

Or when SMTP authentication is properly configured.

The omission here is that the emails must be sent from within the protected network side with the EFW defined as the SMTP relay on the sending client.