I still think the best way to learn to be an entrepreneur is to be an entrepreneur.
If you enjoy a specific sport or activity, enjoy it for it's own merits. Rarely do things like marathons or Ironman or sports make sense just as ways to keep in shape - unless that's the only thing that will motivate you.
So what I am saying is that sports are great on their own, no need to justify them by assuming they "build character" in other parts of your life.
My guess is that success-oriented people do triathlons, not that triathlons produce success-oriented people.