I'm not sure if there are corals they'd specifically dislike, but they're most known for going after fleshy corals. I've seen Centropyge angels go after open brains, fox corals, hammers, frogspawn, and clams. I've never seen one that eats zoas, GSP or mushrooms and I don't think they usually bother SPS.
As for training, I'm not sure that's possible - if they know brains taste good, there's no way you're going to deter them. These guys are smart, bold, and very stubborn.