Improve customization of training_setup.sh script

This is a quick fix PR addressing the comments in https://github.com/openmicroscopy/openmicroscopy/pull/2594#discussion_r13640525.

To test this PR, check the merge-integration/merge-training job still run as expected.
I tried running it with 

```
CONFIG_FILENAME="my training.config" bash examples/Training/training_setup.sh
```

and everything worked. Do you have a concrete failing test for your previous comment?