And the buildings are all repaired, I take it. War Dog means, what, Stables? And it only gives you one wardog in the entire unit? You should be able to train Roman Cavalry at that level as well, since you have had Marian reforms. What is the population? Assuming you have not modded the game, especially in the buildings files, if you are unable to retrain in repaired buildings that are of sufficient level, with sufficient population and finances, it sounds like a glitch in the game.
I was wrong, it looks like a Proconsul's Palace does not train Praetorian Cohort, only Army Barracks level or higher, or an Imperial Palace.
On a rabbit trail, in Gaul, if you capture a town with a Sacred Circle of Epona, you can upgrade it to Awesome Temple of Horse, automatically giving troops trained there a silver chevron, then the Pantheon level gives two silver chevrons.
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