Argghhh I wish I'd known this earlier. We're Lvl 11 now in my current bard run, and I didn't bother to collect and save other musical instruments. So it's probably too late now to get all party members trained.
You can get all instruments for free from Withers.
Anytime you respec a character into Bard you get to pick a free starting instrument. And seeing as you can pickpocket the respec gold back from Withers for free (As he doesn't react to failed attempts) you can easily get every instrument at any time.
