As edge devices become more capable and pervasive in wireless networks, there is growing interest in leveraging their collective compute power for distributed learning. However, optimizing learning at the network edge entails unique challenges, particularly when moving beyond conventional settings and objectives. While Federated Learning (FL) has emerged as a key paradigm for distributed model training, critical challenges persist. First, existing approaches often overlook the trade-off between predictive accuracy and interpretability. Second, they struggle to integrate inherently explainable models such as decision trees because their non-differentiable structure makes them not amenable to backpropagation-based training algorithms. Lastly, they lack meaningful mechanisms for continual Machine Learning (ML) model adaptation through Continual Learning (CL) in resource-limited environments. In this paper, we pave the way for a set of novel optimization problems that emerge in distributed learning at the network edge with wirelessly interconnected edge devices, and we identify key challenges and future directions. Specifically, we discuss how Multi-objective optimization (MOO) can be used to address the trade-off between predictive accuracy and explainability when using complex predictive models. Next, we discuss the implications of integrating inherently explainable tree-based models into distributed learning settings. Finally, we investigate how CL strategies can be effectively combined with FL to support adaptive, lifelong learning when limited-size buffers are used to store past data for retraining. Our approach offers a cohesive set of tools for designing privacy-preserving, adaptive, and trustworthy ML solutions tailored to the demands of edge computing and intelligent services.