I had the same problem on my 1520 that got updated to Denim today, but turns out there's pretty a easy (but hard to find) solution.
If you have installed Denim (as in the new camera and everything works) but you still don't see a "Hey Cortana" option in the system settings page, you will need to download the Hey Cortana app from the store. Once installed, there will be a new entry in the settings page (at the very end) that you can use to train your voice.
I couldn't find this app in the store search, so I had to search for "Hey Cortana app" on Bing and it was the first or second result. I tried posting the direct link here, but my post count is too low to let me post hyperlinks.
However, I think this app is region locked so I guess it won't work if your region is not set to US or UK.
02-27-2015 01:32 AM