Every time you hear or play a note you need to know/feel where that pitch lies relatively to the current key/mode or pole to understand what’s going on and where it wants to go next.
I teach all my students ear training which is a invaluable skill to have.
For beginners I like to teach only intervals and how the sound, disregarding key. It is the first step before they can tell relationships inside a key/mode. And I don’t use programs, just audio tracks so they can listen to them on their ipods, ipads or car without the need of a computer at hand, while they run or drive or whatever.
Here’s a link to the Interval Trainer Vol. I