As near as I can tell, Hexwraiths aren't really...trainable. Or intelligent. They're more like people+horse+scythe shaped arrowheads, shot out by Morr towards damned souls. Now, clearly, this worked for a time, or at least there's enough of them managing that there seems to be nothing slowing Morr down from continually pumping them out. Because of the aforementioned vampire/necromancy thing, and that Necrarchs started doing it a long time ago. Plus, going by the wiki entry/source material the wiki entry comes from, by 2522, necromancers literally across the known world are starting to pull in Hexwraiths into their shambling armies - regular necromancers and vampires included.
No, they're too single-minded, and they are bound entities of Morr - well until they become bound entities through necromantic spells. You'd have to somehow pipe up and tell Morr to be the one to change them, and actually somehow manufacture that conversation as well as survive it, which is just...so very, very unlikely.
They're Divine Entities, just...ones who so happen to be particularly susceptible to necromancy, because it's a magical art specifically devoted to screwing with death itself.
Like, Dazh of Kislev has his Arari, his warrior-consort spirits that dance around him in his golden sun palace. And, much as MOST of End Times Delenda Est, I do personally like the Dread Abyssals of Usirian even if they got screwed over by Nagash, as well as the Hammurai of Ptra that were twisted into the Morghasts also by Nagash.
But the Call Divine Servant Ritual, one of THE most difficult to perform Divine Lore rituals, and only one of the two inscribed in the Tome of Salvation sourcebook, mentions that there a number of Divine Servants. Such as the true White Wolves of Ulric, not just the semi-divine beasts that stalk the forests of the Empire, but also Triton for Manann, Periphata for Myrmidia, but also empowered sacred animals of the Gods i.e. the Portal Ravens of Morr or Hornd Stag of Taal, or even weird shit like a floating cat's paw for Ranald or a straight up moving twin-tailed comet for Sigmar.
Or particularly favored souls, like Caccino for Verena or Pergunda for Shallya. So cultists of particular importance/potency get to show up too.
Point is, the Gods have servants beyond those in the material realm. It's just that Morr has the Hexwraiths, and then they go and get themselves captured by Necromancers a lot of the time. They are not, at any point, going to be 'instructed' by a Priest of Morr. Beseeched, perhaps. Called, even, for help.
But 'taught'?
Nope.