You don't need a drill dojo. I haven't built one yet so not sure what effects it would have. A "bonus" to rallying doesn't seem too important to me right now as units seem to rally if you can cover them from pursuit, otherwise they keep running.

You do pay for the retraining, so watch the costs when you right click the unit icon on the bottom. It may not be worthwhile for some units, but worth it for others. There is not much point in retraining a unit for a couple of levels of armor/weapons when for the same cost you can build a new one with the bonuses.