How do you use the NetTrain option TrainingProgressCheckpointing?

The "Directory" checkpointing method is broken on Windows. A fix is shipping in 11.1.1 (if not earlier in a paclet update). The cause of this problem is that the produced filenames contain the ISO date and time of the start of training, but the : character is forbidden in file paths on Windows except as the drive designator e.g. "C:/".

Until the fix reaches you, you can work around the issue by tricking NetTrain into using just the date for the base file path:

Block[{DateString = Compose[Function, DateString["ISODate"]]},
    NetTrain[...]
]

In windows, the TrainingProgressCheckpointing code isn't currently working. If you do attempt to use it, you won't be able to export wlnets for the current kernel session as well.

Edit : the workaround posted above works very well! Thank you!