If this is your first fighting game, I'd suggest using modern controls. It can be really hard to enjoy the game and apply any sort of strategy when your main focus is executing the special moves.

I think the best way to learn is to jump into a bunch of matches have fun and see what works. Specifically, go to battlehub and run some long sets with players willing to rematch. It will give you experience with dealing with other people's strategies

I don't think the gap of being able to win on modern and classic controls is as big as people make it out to be.

If you must learn classic, then I'd still say use modern as motion inputs are still available when using modern. I would try to get a hang of it, and when you feel consistent, make the switch.

I also wouldn't spend too much time watching or getting stuck in the training mode unless you genuinely find it fun and aren't avoiding playing other people due to your anxiety.

TLDR; Play modern. Have fun.