Is it okay to disclose papers under review for feedback on the review?
As you say, it's part of the process of getting a PhD to learn how to conduct peer reviews, and working off templates and examples is only so useful.

I would however say that maintaining the confidentiality of the review is paramount.

Were it my own paper that was being reviewed, I'd have no problem with it being discussed 1-on-1 with a student and their supervisor, or within a small, lab-group setting. Wider distribution than that would start to make me a little wary - essentially, the wider the circle, the harder keeping the review in confidence becomes.

Another technique is to review already published papers or pre-prints as if you were peer reviewing them. This is commonly a format for journal clubs, and helps you learn the process in a way where confidentiality isn't a concern.