Since I'm currently unable to play online (see thread: http://forum.team17.co.uk/showthread.php?t=38900), I've been playing a lot of offline features to WWP -- missions, training, games against the pc.

I haven't played the game for years (bought the PC version of WWP the day it came out), and honestly, my friends and I basically did nothing but play multiplayer or play online together back in the day, so I don't think any of us ever played the missions much to speak of. I'm sure I never bothered to finish them. (Worms is way more fun with friends than playing solo.)

I was wondering if there are any unlockable options/features in WWP? Do you get anything for completing all the training courses or for finishing all the missions?

Nope.
There is nothing to be unlocked in WWP.
All features (schemes, maps,...) are available right from the start.

I think that even all mission specific maps are available.