CNTK is in maintenance mode now (basically deprecated). While CNTK can export to ONNX pretty OK, importing ONNX models is not really well-supported.

ONNX Runtime https://github.com/microsoft/onnxruntime now supports training, so please try it. ONNX Runtime training is actively developing and is supported, so if something doesn’t quite work, it’s likely the issues will be resolved fast.