Skills over 20 continue to train as normal. You just can't see what they are. You can get whole pop ups, i.e. 21, 22, 23 etc if you keep training. It does count toward salary and will be updated at the beginning of each season, however salary calculators won't calculate this accurately as they won't be able to tell the difference.
It is worth training in the sense that players will continue to improve, but if you have a player with all 20+ in their primary skills then it might be worth training another player instead as this guy is already excellent.