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"
)