I can't speak for Sandhurst or Woolich (where artillery officers received their training), although I'm certain "the story of Sandhurst" touched upon this I don't have a copy to hand. However in the First World War many officers in the Territorial Army commissioning pipeline didn't complete their full commissioning course. The Territorial Army was established in 1906 as part of Lord Haldane's army reforms which amalgamated the various yeomanries, reserve units, and volunteer forces under the banner of the TA. These reforms also established the upper and lower Officer Training Corps in various public schools (Eton, Harrow, Monmouth etc) and universities respectively. The lower OTCs awarded a leaving public schoolboy who had completed the training program a "certificate A" which allowed the student to progress onto upper OTC at university. The upper OTC built upon the training a student would have received at the lower OTC, and would award a "certificate B" to a student completing their training program. It was this certificate B which granted he holder a commission in the Territorial Army and was the culmination of their junior officer training. At the onset of war many men who held only a certificate A or who had not yet completed their certificate B training, and thus finished the entirety of their officer training, were directly commissioned. Furthermore at the onset of war the recruiting officers had an approved list of schools from which those seeking a commission were to be drawn from; indeed R.C. Sheriff of Journeys End fame was dismayed at the outbreak of war that he couldn't gain a commission despite holding a category A certificate as he had "only" attended a grammar school.

Sources: "Six Weeks: the short and gallant life of the British officer in The First World War" by John Lewis-Stempel

Edit: adding additional sources

David French, ‘British Economic and Strategic planning 1905-1915’

David French, ‘The British General Staff: Reform and Innovation 1890-1939’

John Gooch, ‘The Plans of War: the General Staff and British Military Strategy 1900-1916’

David French, 'The British way in Warfare 1688-2000'

David Chandler, 'Oxford history of the British Army'

Viscount Haldane, 'Before the War'

John French, Military identities: the Regimental system, the British army and the British people 1870-2000

http://www.churchill-society-london.org.uk/Shst2Chr.htm http://www.army.mod.uk/training_education/24487.aspx

It seems that for the Army at least, Sandhurst was closed, the senior students were made officers and the junior ones reassigned to Territorial units.

According this great article from last week's BBC Magazine (http://www.bbc.com/news/magazine-31712158), over 400 teenage cadets (14-16) from the Royal Naval College were immediately assigned to the Reserve Fleet on August 1, 1914.

While the article is critical of the decision both on account of their age and their placement on the oldest ships in the fleet, I'm not sure it would have been a better idea to place the young cadets in the Grand Fleet, where they would be more likely to see combat. As First Lord of the Admiralty, Churchill had to defend the decision to the House of Commons, arguing that shipboard experience would be more valuable than further training on land.