This is true. ROIs are treated as one group of pixels for training purposes. You would need each of those ROI regions as separate ROIs.
One thing you can do is export your ROI to a vector. The vector will retain all the attributes and class values. Then import that vector to an ROI using "Record Subset to a single ROI" or other import method to subset the records you want. Once it is separated into its own ROI, you can calculate the statistics on the single ROI area.

Thanks for your reply, and I have tried as your given steps, but I found that after using Record subset to a single ROI, the output is still one whole ROI. Using Each record to a separate ROI or Unique records of an attribute option can get several individual ROIs and be able to make statistics analysis about different ROIs.

Thanks for your reply again, and your reply give me some meaningful instructions.