I would probaly try and keep it on Ky Lake
I admire the Cabo Rico designs -- Bill Crealock designed both of the boats I've owned. I have been aboard many of them and they seem to be well built. They are solid, heavy, full-keeled blue-water passagemakers.
But I don't think a Cabo Rico is the best choice for a lake in Kentucky. I also don't think a 38-footer, particulalry of this variety, makes the greatest sail trainer. In your shoes, I'd be looking for something smaller, more nimble and responsive, and better suited to lake sailing. Something I could build experience and confidence on, not feel overwhelmed with, or stuck at the dock for upkeep.
If you hope to make sailing a lifelong pursuit, and hope to do some extensive voyaging at some point, first focus on developing your sailing skills. It's very difficult for a new sailor to hone basic skills on heavy displacment boats.
Just another point of view...