The Image Classification Wizard workflow text isn't super clear on whether the segments that are created in the first step of the workflow (if using object based, supervised classification) are used in the training and then classifier steps. There doesn't seem to be a way to explicitly ask the wizard to do this, if you're segmenting from within the wizard workflow. I would have thought the wizard just does this / flows on, but it's REALLY important I know for sure as I have done a whole lot of work on this assumption and if not I need to be able to say so... Thanks.
From Image Classification Wizard—ArcGIS Pro | Documentation
It states that it basically automates the steps in the classification drop-down
If you really want to follow the steps, you might be advised to compare the inputs and outputs using the tools from arctoolbox. For instance...
An overview of the Classification and Pattern Recognition toolset—ArcGIS Pro | Documentation