In their mind, this is their idea of a "fair stage that shows actual skill" and not relying on "cheap wall gimmicks" to win, which in itself is an anomaly of what the game's design was intended for.
The Dojo stage occasionally felt like it had less lag than most other stages, and in games like SFIV & SFV the more "pro" players tend to exclusively play on the training stage for the 'less lag' reason. However, @Awesmic is right to why most online players pick Dojo: they don't like dealing with wall damage. Though as an Ayane player, I'd just LOL at them and run away. Same for Busa, Hayate or of course, Ein.
i recently lost a match to a player who picked dojo, did one combo on me, then proceeded to just backdash for the remaining time, probably one of the most annoying encounters i've had in forever