I think it was the same in 1.1.1.

This was the same previously, so not a bug.

Maybe related, although I'm playing 1.2.0 p3:

When I get theoretical training from Yergius, my dice modifier changes as expected. However, if I get some increase in skill due to natural training, then the dice modifier reverts all the way back down to where it was, or lower, than before I got training with Yergius. Meaning I do not get the chance to benefit from the theoretical training's boost to dice, at level up, because it was already "consumed" before then.

I'm pretty sure this "consuming" behavior was not present in 1.1.1b4. Back then, if I trained with Yergius theoretically, then that change in dice modifier stuck until level up. Or it may be, that when I got skill increases, the modifier only went down one level by one level, instead of immediately dropping all the way back down to pre-theoretical-training level. Not sure.

So for example, previous behavior:
I buy 4 levels of theoretical training in Stealth with Yergius, changing my dice from 1d5 to 3d5. Skill level is, say, 42.
I get a couple of points of natural training. Skill goes up from 42 to 44. No change in dice.
I go up a level and train Stealth once: skill goes up from 44 to, say, 54. Dice changes from 3d5 to 3d4.

New, unexpected, possibly buggy behavior:
I buy 4 levels of theoretical training in Stealth with Yergius, changing my dice from 1d5 to 3d5. Skill level is, say, 42.
I get a couple of points of natural training. Skill goes up from 42 to 44. Dice changes from 3d5 to 1d5.
Infuriated, I buy 4 more levels of theoretical training in Stealth from Yergius. Dice changes from 1d5 to 3d5 again.
I go up a level and train Stealth once: skill goes up from 44 to, say, 54. Dice changes from 3d5 to 1d3.
Infuriated, I file a bug report.

I, too, could be remembering wrong. Maybe it was always this way.

@ Grey: Stating that it was the same in 1.1.1 doesn't make something not wrong. It's like saying 1.1.1 is bugfree.

Edit - I've trained Climbing with Yergius. Theoretical up to 4d5. Practical 210 lessons. Climbed some 20 mountains. After a few days, maybe 5, there was no increase in the Climbing skill. Yet Pickpocketing that I only applied 28 times during the start of the game increased at every check all the way from 1 to 80 near the end of the game.

Fixed. And climbing mountains now yields more practical training, too.