Yes I did exactly that 5 years ago. You do have to be ready to go back to your home country if they frown at it since you do sign for that in the training visa, but it went smooth for me, 6 weeks and I had the work visa.
Most employers seem to consider the training visa as a fixed term contract visa and the work visa an indefinite term contract visa. You should ask yourself as well why the company does a training visa rather than a work visa, it is surprising.
For my case, I was an offshore employee coming under a special tax scheme in my country to help send young people abroad for business training, employed by my foreign company under a local chamber of commerce sponsoring, with a pretty low monthly stipend in a foreign currency: the training visa was entirely appropriate and justified. When I switched to a "real" employment, I got a "real" work visa.
If your employer interrupt your training visa, it can be reflecting badly, and you will have to move back to your country, I think. But for those cases I suspect they'll at worst ask you questions, not treat you as a criminal at immigration. I have a friend who got fired under GEP visa for gross incompetence and he could find other work (where he was no better hehe), so it doesn't seem to be a no-deal.