This is the part I can not find explicit references to, the rules seem to just say it is something you do in this order when you advance levels. Under the optional DMG training rules you do not get your feat until you train. In your example when you train you are 4th level. Not second, third, and fourth. When you are training you meet the prereqs of feats you might not have met at lower levels.
Requiring you to be treated as lower level seems only to be so that it seems like you gained them at the lower levels when you first could have (with proper training). It seems an unnecesary limitation on someone who already lost out on three levels of having these feats.