Latin American rowers from many countries train (or used to) at Tiquicaca Lake, in Bolivia. The highest lake in the world. Apparently intense training in a thin atmosphere made them more powerful when racing in richer atmospheres.
It's quite common, and how it's done is often depending on where you compete (if you need high altitude experience during the race itself). So some practice sleep high train low, while others are high and do the workouts as well at altitude.
Many athletes also sleep in altitute tents. Basically something you wrap around your bed or a mask, that simulates being at altitute.
But anyway, that requires doing the exercise inside the controlled atmosphere. I'd guess the lure of carbon monoxide is that you can breath it, go out and exercise on a normal atmosphere. (That is, if you don't die on the first step.)
But then, if I had to guess I'd say the fact that the effects are long-term would reduce the athlete's performance. So yeah, I'd guess wrong.
You're right, carbon dioxide in large enough doses is no bueno, but even then it's more likely an issue of asphyxiation than anything else, and it's really a matter of scale. Carbon dioxide exist at ~400 ppm and safe at 5,000 ppm over 8 hours, compared to 50 ppm for carbon monoxide[1]. I know which one I'd rather use to substitute some oxygen for.
I was just trying to point out that if they wanted to induce hypoxia, there's better gases to be inhaling.
Source: Olympic rower who is a friend.