The training was too expensive. A gladiator, especially a good one, was a commodity; a valuable asset to his owner. For the duration of their gladiatorial careers, gladiators were viewed as their owners property, and few owners would give them up to the army just like that. The gladiatorial version of martial arts emphasized visual effects: more like stage combat than actual combat. Also, it was believed that a layer of fat can protect a gladiator (somewhat) against deep wounds. Soldiers were trained to be quick and efficient killers; gladiators were trained to be showmen. Few gladiatorial fights ended in death or even just injury: again, they were assets, too expensive to waste.
About twenty years ago a former heavyweight champion decided to join the Marines. He asked to be honorably discharged after about a week.
There were, of course, some exceptions.
The Wikipedia article on gladiators has a great deal of fluff despite its brevity, but here's the link anyway: