I think it should be helpful to receive some risk management training. The risk management training will include some knowledge of the risk management a s well as the case studies which could be helpful for people to do some practices of risk management. Gaining risk management from working in real life could help people to learn some risk management skills. However, I don’t think this is the only way for us to learn those risk management skills. Compared with learning the risk management skills from real life, learning from the risk management training could be a more direct way which could help people to gain all-round skills. Also, learning from real life might cause the waste of resources.  If the project manager does not have the skills of risk management, the manager might make inappropriate decisions when facing the risk management problems. This issue could be avoided if people can receive some training.

I do not have first hand experience as a PM but I am inclined to think you will understand risk management during your tenor. As a PM you will need to understand steps of the projects you're working on which often include risk management. Understandably, you won't be able to fully complete the role but you will be exposed enough to have a foundation for yourself whether to transition roles or just to better understand the assembly line of tasks that you manage.

Experience in risk analysis may be harder to come by ask it is slightly more technical and as a PM you'll be more exposed to the results of the risk analysis measures rather than the innerworkings. Of course this doesn't mean you are unable to ask about the behind scenes process, just that they may not be as upfront

Different industries offer training programs on different phases of the design control process and different elements of project management. Furthermore, it is possible to obtain training on risk management and risk analysis. Seeking this kind of training is important because risk management/risk analysis is a very complicated but important part of project management. Aside from seeking training, most people gain exposure to risk management/analysis during their work on project teams. Before an individual becomes a project manager, he or she normally has worked on a project team. Being part of a project team allows an individual to gain exposure and experience with all different elements of design control. It is important the project manager understands risk management/analysis thoroughly so that he or she can adequately deal with certain risks and prevent them. 

As others have stated in this thread, risk management and risk analysis are some things that you will only be able to really understand after having experience in it. There are plenty of pieces of training that can be done on it and it is crucial for the early developmental mindset that an employee should have but the real-time application for it will only come with real-time experience working for the company and leading teams in different projects. Companies want to make sure that their employees are able to understand and see what different risks to them and the company as a whole look like. Usually, project managers have been exposed to different types of risk management and analysis and so they are able to deal with it if it were to arise in the duration of the project lifetime. In addition to that, the more involved a team member becomes with the project, the more exposure that this individual has to the different aspects of a project, including risk. It is important to have an understanding of these concepts but it will take real experience to fully comprehend and manage them.