At this cold, even Guards traditionally wouldn't show up to train. The cold weather would run from their fingers first and then to their bones. Causing numbness in the fingers as a primary effect, causing them to be demotivated to do any sort of training was the secondary effect.
But since Woldemir gained control of the 100 Guards with King Michael's blessing, they have turned from a group of cowards who became Guards for free fish, into cold blooded Warriors able to withstand an attack if one were to happen.
King Michael was more than willing to let Woldemir train these Guards the second Woldemir offered. It is not an everyday thing to meet a Grand Master of any sort.
He even offered Woldemir a full time job as a Guard Commander and a Guard trainer, offering 400 Gold Coins a month as a salary which Woldemir saw no flaw to accept. It would benefit everyone.