Some fights in the game will kill you no matter what if you're not careful. Such as the Reaper beam, Banshie hand going through your body, some explosions, etc. Those types of injuries don't seem to be bypassed with the trainer. But then again... if the trainer made you immune to all damage types... what fun would that be? Okay, sure... using the Omni-Blade to kill a Reaper may be funny... but not fun. Sometimes you just have to pay attention to what's going on and work with the environment and game mechanics (not trying to insult anyone with the "pay attention" comment). The trainer's Health cheat does work for all the normal damage types, just be careful of the enemies Special Moves/Powers kinda thing.
I love this bit (the game says you should have died from those two rockets to the skull) Just epic.