Santa Cruz is one of the more urban councils of Madeira, having in fact, two city Santa Cruz and Caniço. Evan so, you are wrong id you think it is not a god place for training.
Just have a look at the Cristo Rei Trail, and it wonderful organization, that managed to provide the trailing a great track around the city of Caniço that goes from the sea level (Garajau) all the way up to the high mountains near Camacha and finally back down to the Reis Magos Beach, finishing in the Galomar Resort, here the organization has its headquarters.
The mountains in Santa Cruz ate a bit more flat that in other areas of the island, and in particular the area around the Chão das Aboboreiras (near Poiso) have lots of interesting trails ideal for soft training.You also have the levada da Serra that goes all the way since Funchal (Choupana) to Lamaceiros (Machico).
In Santa Cruz with can have nice soft trainings, ideal to have a god preparation without many risk of the technical terrains.