As title suggests, even when all skills for the current building level have been trained, the Academy and Voodoo Hut show the Train popup. As far as I can tell, a popup means there is something left to do with the building, whether it be collecting resources, recruiting pirates, funding perks or training skills. I'm not sure if this persists after finishing Academy Level 5 and Voodoo Hut Level 3 skills as I'm not quite there yet. Expected behaviour is similar to the Tavern which doesn't show the Recruit popup if the Tavern is full, but does show it if the Tavern is partially full but not currently recruiting any pirates. Edit: @Chris [Midoki] ping?
Good catch, I have never maxed out my training in my academy, but you are right. Training options should not show up if there is nothing to train.
There is something to train, and the pop up is reminding you to upgrade to unlock so you can get back to training again. That is how I see it anyways.