They don't do that it seems. In the footnotes of https://docs.github.com/en/github/copilot/research-recitatio... they mention two repositories from the training set none of which specify a license.

The existence of a LICENSE file is neither necessary nor sufficient to determine the terms that apply to a given work.

Why not? If it does not exist you treat it as proprietary (copyrighted by default) and if it does exist at least the author claims that the given license is an option (possibly their mistake, not mine)

Because individual source files might have license headers that override the root license file in the repository.

They haven't made any public statements on if they're looking at LICENSE or not; I'd sure appreciate it if they did!