create_training_set performs left join. It is just a simple function which select data from Spark SQL database used by feature store. You can just write own code with inner join:

customer_features_df = spark.sql("SELECT * FROM recommender_system.customer_features")
product_features_df = spark.sql("SELECT * FROM recommender_system.product_features")
 
training_df.join(
  customer_features_df,
  on=[training_df.cid == customer_features_df.customer_id,
      training_df.transaction_dt == customer_features_df.dt],
  how="inner"
).join(
  product_features_df,
  on="product_id",
  how="inner"
)