Is it permissible to continue working at a usurious bank to benefit from a training program that does not directly deal with usury, or is it obligatory to move to the Capital Market Authority?

If your observation of the bank's usurious departments is for supervisory purposes, then you are complicit in sin, based on the words of the Almighty: "And cooperate in righteousness and piety, but do not cooperate in sin and aggression." However, if the observation is for the purpose of learning, without any assistance, then there is no harm. Joining an "Islamic window" is permissible if it is regulated and Sharia-compliant independently from the main bank. One must seek a permissible source of income, and working in the Capital Market Authority is permissible if its field is permissible.