'Coaching' means different things to different people. In the traditional sense, coaching is an ongoing relationship, rather than a one-off 'master class' type of arrangement.
Ongoing coaching is likely beneficial to someone not used to training in a structured manner - learning how to train.
Master classes - albeit fun to take part in - are almost by definition unlikely to actually yield any real benefit: if climbing improvement was a matter of discovering a few secrets that can be passed on in an hour or two, then we'd all be Adam Ondras: there are no silver bullets, unfortunately.
Many 'rock & sun' coaching courses make bold promises of getting you to climb two (sport) grades harder, or your money back. If you're a typical UK trad weekend warrior, that's actually a safe bet - the reason being that you probably take a trad mentality to the sports crag - depending on how you view this, this is either great coaching, or money for old rope, as basic sport tactics can be summarised in a single paragraph
http://xpqz.blogspot.com/2009/09/come-on-coaching-holiday-for-few-days.html
My advice would be to start with reading a few books, like Dave Mac's "9 out of 10 climbers make the same mistakes". Cheaper, and if you take on board some of the lessons in it, almost certainly more likely to make a bigger difference to your climbing than any coaching trip to Kalymnos.