what does this phrase mean: "train a policy network"
A policy is just a response or action given a state (situation).  Training a neural network with samples from an expert is just searching for a function F that efficiently maps states to actions.

For example for chess, a neural network can be trained with the action to be taken in a given state of the board.  This can be trained using a database of existing (human) expert games. 
The resulting network is a policy network that maps a given board setup (state) to the chess move to be executed in that state that more likely leads to a win (action).