wet food is nutritious, however, dry food is generally better for teeth (i have a greyhound and a deerhound/greyhound cross - breeds with their type of mouth tend to have awful teeth anyway and my ex-racer had a solid tartar build up all over his teeth because they feed them soft food) and other systems too.
for a puppy though.. i would probably do a mix of dry and wet food, then wean him off onto dry only. i have a great dane as well and we could not put any weight on him whatsoever so he would have a mixture of wet and dry - then he developed a thyroid problem and we cut out the wet food which worked quite well for weight loss. he was recently ill and would not eat but would have wet food - so it's a nice trick to have. i think if he was normally on wet food, he'd be off that as well.
it's up to you. if you're feeding complete food, either should deliver complete nutrition. i would not feed solely wet because of the teeth/kidneys etc issue but the wet food seems to taste nicer to them so for a puppy i'd do a little mix.
as for training, you can do sit etc training at the same time as house training. clicker training is great - you can get a clicker cheap and also very small 'clicker training' treats - it does require time but it works great. actually, with a puppy it will take no time at all. it's a bit of a pain in my house because i have three dogs so i have to take one to a different room and all. just choose a time when she's not excited and you should be good
you could try without clicker to start with - i only got the clicker when we got the deerhound/greyhound boy, he's a rescue and he has quite a few issues so doesn't really respond to some stuff in the way he should (for example, if another dog growls and snaps at him, he'll go over and lick the growling dog's face - we think he was taken from his mum too early) and he was really good with the clicker.
so you could just do it with treats and a praising word.