In the second game, the characters have a set of special kata performances they can do for certain achievements. The dance in question changes based on weapon.
Beating 20 opponents in Vs CPU mode, winning in Group Battle Mode, or beating Story mode without dying will show you something like this.
Obviously these aren't the locations they're supposed to do this in. This second location is the secret "Samurai Mansion" stage in the POV Link Battle Mode.
This is one of the training rooms.