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RichardKennaway comments on Useful Questions Repository - Less Wrong
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This question seems to be distinct from some of the others in that it requires insight to answer, not just insight to ask.
When you ask something like "what skill am I actually training", the answer is usually fairly obvious; the insight (that we often teach people based on some heuristic like "what would a teacher do" rather than the obviously correct "how can I get this person to reliably perform this skill") is encapsulated in the question.
That said, I don't typically ask myself this question. Is this a question you routinely ask yourself? If so, do you find that it's actually helpful to ask it, as distinct from the benefits you would get from e.g. a general cue like "think harder about this problem"?
Noticing is one of the basic skills of rationality, though not much mentioned here, other than the mantra, "I notice that I am confused." Noticing things both outside you, and inside you. You cannot update on evidence you have not noticed, search for evidence you have not noticed you need, think about what you have not noticed you need to think about, examine beliefs you have not noticed you are holding, or resolve a confusion you have not noticed you are in.
It is a useful question to ask from time to time, and especially when experiencing any perplexity.