Fighting skills must have been the most important, but activities to promote physical fitness and muscular strength must have also been important. Discipline was prioritised with dire punishments for those disobeying orders.
Many soldiers were recruited having already trained in other professions like carpentry. masonry, baking etc. These were skills that were needed for life in an army camp. Fighting may actually have been a small part of a soldier’s life, especially if sent to a peaceful province.
Inscriptions by their very nature are short, so information is limited. But we do learn about lifespan, military service and place of origin. We may learn about family but for much of history, the Roman army did not allow conscripts to marry (although there would have undoubtedly informal relationships).
It was generally felt unwise to allow soldiers to serve locally as this may have helped those who felt inclined to rebel against their Roman masters. So, we have evidence of soldiers being sent far from their own countries to serve.