You can absolutely train your own models. Your comment is patently false and a fraction of the time it took to write it should have been spent reading that API you have so inaptly described. I encourage you to delete it.
You can use it to train the models that they have built. You can't make new models. I've done quite a bit of research into ML.NET because the nomenclature lead me to believe that it can fill the role of Tensorflow.