Of course, the trouble with exercises is that they dont always teach you the right lesson.
The RN did indeed conduct A/S exercises between the wars. However the conditions lead to the conclusion that the submarine threat could be handles, and that attacking using the periscope was highly dangerous.
The mistake they made was to execise in the channel (shallow, no layer) and to assume that two ships would be working together (reducing the issues of dead time).
The problem (and for all navies) is that realistic exercises that cover everything are very expensive (and tie up a lot of ships), and in the 30's, with money short, weren't going to happen.