Really? Currently, it's 7 interceptors once per week, which will net you ~7*4*0.1 ~= 30 Bravery, ~28*0.25 ~= 7 accuracy and ~28*0.3 ~= 8 reactions per month (per embassy, per interceptor - which might have more than one pilot). Unless you're drowning in embassies and/or trying to get the last few stat points, gyms and missions will give you as much if not more, for all active agents, not just a few pilots. Bravery is the only notable gain here.
Note that a lot of agent advancement is locked behind transformations and commendations, neither of which is easy nor quick to build up, so pure stat training has its limits.
If the interceptors were actually dangerous, like Fighters, Sentries, Contact Ships, Observers or Strikers, that'd mean downtime for your interceptors and more difficulty in actually reaching the supply ships without a solid escort. Hybrid aircars are pretty anemic in comparison to even the Sentry Ships.
Also, remember that taking on all these interceptors is an Elerium loss if you're flying advanced craft, and quite risky if not.
One might have to tweak the UFOs, their launch frequency, etc, of course. If the goal is to have an interesting air game, that'd have to happen anyway.