I don't use either. Sequential isn't; it hasn't been updated since Erik bought the software what, 7 or 8 years ago? Adaptive is for better players who want to finetune their expertise. Nope, I just run around like a kid in a candy store grabbing whatever courses look good. So no, you don't have to hit that big orange START TRAINING button, you can choose "view courses" and just pick one.
Sequential vs Adpative

Right, thats what I've been doing too. So you complete full courses that you're intrested in right?
A couple of things that would make Chess Mentor even better would be
- A smartphone app
- Some sort of system that evaluates your weaknesses and points towards what you should be studying. I know that kind of exists, but its not as straight forward for a player at my level. I've been using it in conjunction with the study guides.

Well, complete and review. I've done 2800 lessons; so most of the courses that aren't just too advanced for me. I'm always reviewing courses though, especially basic tactics. Actually the Progress Report does a fine job of showing your strengths and weaknesses, but you're right; it's up to you to decide what to do with it. One of these days I guess I should bite the bullet and try adaptive mode again. I thought ChessMentor was available for smartphones. Those little screens are just too small for these old eyes so I don't own one.

To the best of my knowladge there is no app for it. If anyone reading this knows better, please let me know!

If Android, apparently you're in luck. Instead of calling it ChessMentor though, they call it "lessons":
http://www.chess.com/forum/view/chess-mentor/how-to-access-chessmentor-via-android-chesscom-app
Which are the advantages and disadvantages of each setting? Is it better to systametically go through a course or use the Adaptive setting to focus on improving your skills?