Finally, I have been able to take some screenshots of units being retrained and losing experience in the process. This is the first time I'm posting images, so I hope this works...
Here I've taken the only Alemanni settlement and my levy spearmen (1 silver chevron) need retraining. I also demolished the holy grove of Frigg that I conquered and build a shrine of Woden ( +1 recruits exp).
One turn later, the units are retrained. Notice how two of the levy spearmen lost one exp?
Either this happens when a unit is somewhat depleted or it has to do with structures giving a "recruits experience bonus". In the latter case one might consider it being a bug.
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