The usual way of dealing with a deficiency in ones military was to look for foreign expertise and hire it. Trying to have your own people learn horse-archery seems like a waste of time and resources: they are never going to be as good at it as those steppe-dwellers, and the latter are hardly expensive to hire. And horse-archery isn't something that can be learned in a month: it requires a life-time of dedication, and this therefore generally the preserve of those who use it for a living. The Romans acquiring a navy this way seems more likely, but it's a pretty rare event. It also leads to all kind of scenarios that the team would have to anticipate and implement (Roman cataphracts, Celtic legions, Celtic cataphracts and so on), so I don't see this happening, even if it wouldn't take up building slots and other resources.