If one sets FoldFileOutput in the CrossValidation declaration, the normal training output is suppressed. It becomes true.out (attached) instead of false.out (attached). This appears to be because of line 522 in CrossValidation.cxx, which declares a new Factory for each fold:
There seems to be something behind-the-scenes preventing the normal output.
A fix for this would be much appreciated, as the TMVA output is quite useful for evaluating performance.