Virtual and Extended Reality (VR/XR) headsets have promised to enhance police training through the delivery of immersive simulations able to be conducted anywhere, anytime. However, little consideration has been given to reviewing the evidenced benefits and potential issues posed by XR police training. In this paper, we summarise the evidenced usage and benefits of XR police training through a formative targeted literature review (n=41 publications). We then reflect on the prospective technical, security, social and legal issues posed by XR police training, identifying four areas where issues or vulnerabilities exist: training content, trainees and trainers, systems and devices, and state and institutional stakeholders. We highlight significant concerns around e.g. the validity of training; the psychological impact and risks of trauma; the safety and privacy risks posed to trainees and trainers; and the risks to policing institutions. We aim to encourage end-user communities (e.g. police forces) to more openly reflect on the risks of immersive training, so we can ultimately move towards transparent, validated, trusted training that is evidenced to improve policing outcomes.