IIUC, CoT is "incorporated" into training by just providing better quality training data which steers the model towards "thinking" more deeply in its responses. But at the end of the day, it's still just regular pre training.

RAG - Retrieval augmented generation - how can the retrieval be done during training? RAG will always remain external to the model. The whole point is that you can augment the model by injecting relevant context into the prompt at inference time, bringing your own proprietary/domain-specific data.