There are two issues here that are getting conflated: the ethical problem, and the notion of "intellectual property."
Taking the latter first: "intellectual property" is a legal term of art, and most decidedly does not apply to "knowledge and skills earned by an employee". I do not know of any company that has ever claimed that it does, and would be shocked beyond belief if any judge upheld such an absurd notion. A company could claim, quite reasonably, that certain specific trade secrets remain the property of the employer after the termination of employment, and the terms of said employee's employment contract would doubtlessly contain a confidentiality clause to that effect.
So, my question is, is knowledge an intellectual property? If so, are knowledge and skills that an employee received an intellectual property of a company?
This is a legal, not a philosophical question, but the answers are: "Yes, under very limited circumstances", and "No, not generally" respectively.
Now, that being said, there is a proper philosophical question lurking beneath here, regarding the ethics of an employee receiving training at one job, and then leaving said employment and taking those skills elsewhere.
Here, the question comes down to a social contract (not a legal contract); employers do not expect employees to remain in the same company for life, and are perfectly aware that employees may leave to go elsewhere, and in doing so will gain the benefits of any training imparted during their employ. Very few employers would give this a second thought. However: if an employee were to leave immediately after training, before the employer had an opportunity to receive any of the benefits of that training, the employer would likely feel duped, as this would go against the implied social contract between the employer and the employee.