You need to select beforehand where the points will go:

(from official FAQ)
In Top Eleven 2015, you can very easily select the skills you would like your players to develop!
On the Training screen, click on any of your players to access the Player’s overview screen, then select the “Skills” tab.
You are then free to select the skills you would like your players to improve: Defence, Attack or Physical & Mental. Selecting one or two over all three ensures your player is getting stronger in a specific area.
It’s up to you as a manager to find the best training strategy for your team!
Your skill points will be automatically assigned to your player based on your training choices after a training session or match.