The reason why your cavalry and infantry are losing experience when you retrain but your missile troops are not is probably because in RTW the experienced men in a unit are placed in the front lines. As such, melee infantry and cavalry tend to lose the most experienced men because they tend to engage things directly from the front. Missile units tend to take loses from enemy missiles, so they are probably losing men from throughout the unit, not just the front. So, they probably retain more of the experienced men.

I'm not sure if I'm right on this. But it seems to make sense to me.