My training wheels are super heavy. I've never weighed them but they are 36 spokes, 14 gauge stainless with box section front and a Velocity Dyad rear rim. The Dyad is a TANDEM rim. I run commuter tires, big fat 32's with thick ugly tread. I've had guys hop on the bike and go "ooof" when they felt how heavy they are. It's definitely noticeable when I switch to race wheels.
Now, why do I do this?
Durability is the main reason; I like to be able to do it all on one bike and these wheels have stood up to tons of abuse with no complaints.
The psych-out factor is fun too; showing up to hammerfests with these always causes a few double-takes and comments.
But I do believe there is a training benefit. If some or all of your "fast" rides are a group ride, where others are setting the pace or chasing you, being at a disadvantage would mean that you're working harder to ride with the group. I know when I do hammerfests with my heavy wheels, I suffer much more than if I bring the race wheels. It's the difference between being frisky, playing around at the front, vs nearly getting dropped in the tough parts. Is it a "better" workout? Dunno since I don't have a powermeter. But it feels tougher to me.
On a solo ride, intervals or just miles or whatever, meh it's probably a wash.