In a single word: NO! 

Classroom training in object technology, specifically object oriented analysis and design (OOA&D) is a conceptual & interface specification activity, not an implementation activity. Including a CASE tool in an OOA&D class forces you to try to serve two masters at the same time. 

I strongly recommend that you consider your goals for classroom training. Are you looking to learn and master the conceptual foundations of object oriented thinking and modeling? If so, whiteboard and paper are the best tools around--familiar, easily managed and not subject to bugs (only buggy modeling). Are you looking to learn the OO CASE tool you have selected for your project or company? If so, then get training specifically focused on that tool. 

My experience has shown me that including a tool in a concepts course such as OOA&D has only downside. Struggling with the tool's interface distracts students from the conceptual training. As a result, they complete the classroom training without a good understanding of either the tool or the modeling concepts. Also, each tool has deficiencies in its support of UML, and many have proprietary extensions to the current UML definition. Tools in OOA&D classes are so distracting for the students that I refuse to teach any concepts course which includes an OO CASE tool.

Ideally, the conceptual training precedes the tool training, and NOT the other way around. The tool is only a tool: it is a mechanism for tranforming your thoughts into an organized and consistent notation such as UML. The tool cannot think for you. As Scott Ambler so accurately wrote: "A fool with a tool is still a fool."

For classes in components, EJB, COM, etc.--yes, you need to have a development environment in-place and exercises in the course to test your understanding of the concepts. This is a practical issue: presumably the EJB/COM instructor has real experience, and the students need to practice so the instructor can make immediate corrections to the students' work. For OOA&D the instructor can critique or improve the models you put on a whiteboard...and much more easily than in a CASE tool.