Thank you for reaching out.
Yes we do not use "training the WAF" but "tuning the WAF" terminology is used. WAF is tuned to prevent any false positive blocks more details can be found below.
https://learn.microsoft.com/en-us/azure/web-application-firewall/ag/best-practices#tune-your-waf
We do have Azure Web Application Firewall integration in Microsoft Copilot for Security (preview) feature but there is no training concept used there, but it might be worth a look.
https://learn.microsoft.com/en-us/azure/web-application-firewall/waf-copilot
Hope this helps! Thanks!