While a PG needs passing and handling to run offense like motion, a SG needs better jump shooting and, probably more importantly, outside defense.
I don't think that this is necessarily true for a few reasons:
1) Since a PG doesn't have to spend as much time doing time intensive JR training it can make more sense to have them get more OD training (which is also time intensive) rather than making your SG go through massive amounts of both.
2) You want high OD on the opposing PG to cause more turnovers, disrupt offensive flow and prevent the person with the ball at the end of the shotclock from getting easy shots.
3) If you're playing a zone then everyone on the perimeter needs good OD.
4) Even in a man offense you can switch players' defensive assignments to create favourable matchups. You can't do that as easily of offense.