it depends on the level difficulty and the faction, on my first campaign i retrained, i played VH/VH with Parthians and KH, and i must say peraphs they were my first 2 campaign they were the more funny ones.

Now, i play from time to time, i never retrain and i play on VH/M, but i have to say it's not the same fun, i have to turn back on the old way sooner or later...
actually i started a 1.1 pahlava campaign on VH/M and i stopped it at 218 a.c, i never retrained, but still i got full of 2 silver chevrons horse archers. so i conclude that it's not that the problem, same with the Romans, or with other faction, if you merge well, you will got full chevroned units the same. I know you can disband your units, but it will be even more boring, cause it will became a work of book-keeping... the real problem, is the game-engine.

I have to try to resume my 2 current 1.1 (roman and pahlava) campaigns and ugrade that with SAGE on VH battle. That was the only time i got really fun in the past, and i will start to retrain again - have a struggle with the luck! you have the human intelligence, and the AI have the best of the best units (+7attack/+7defence)