I know most Felicity fans hated Oliver in this episode. It is for good reasons because he was kind of jerk to her for most of it. The fact is Oliver already had developed a lot of feelings for Felicity which he was trying to ignore.
In this scene Oliver kept on looking at Felicity with a curious expression on his face. Oliver knows that she is wearing a gym outfit and she is really looking pretty. I take out two things from Oliver’s expression. First, his desire. He couldn’t take his eyes off her for few seconds. I think one of the reasons that writers have never shown Oliver training Felicity is because they know how hot it will turn out. EBR and SA could stand across a room from each other and still show chemistry. I do not think Oliver can control himself if he ever trains her. It will lead them in some other dimensions (ahem). Secondly, Oliver cannot imagine to put Felicity in danger. For him, she does not need to be trained because any danger near Felicity will make him go wild(three arrows—I repeat three arrows). He wants to protect her.