This is a difficult question to answer, because you say you already understand synthesis, and that you're good at it - so it seems you should already know what synthesisers are capable of, and how to make them do it.
So you'll know there are many different kinds of synthesiser, and they can be combined - there's nothing to stop you from controlling an FM synth with an analogue LFO, then munging the output with an analogue filter.
Most synthesisers are limited to a certain range of sounds. You can't make a minimoog sound like a DX7, or like a real grand piano, or like Michael Jackson singing, or like a complex sound effect in Transformers.
However, any sound can be represented by series of numbers (clearly, since that's what's on a CD), and if you were clever enough, you could draw a waveform that plays back as the sound you want.
In reality, sound designers build up complex sounds by layering elements from multiple sources. A sound effect in Transformers could be created by combining a sample of someone hitting a real piece of metal, with a white noise-based whoosh from an analogue synth, a digital reverb, and all kinds of other elements.
One real example is the distinctive sound of Tie Fighters in Star Wars. Famously, this sound effect is made my combining a recording of an elephant call, with a recording of a speeding car on a wet road.
As far as training your ear, the first step is to recognise the elements. Know what a squaretooth wave sounds like compared to a sin wave. Know what resonance and filtering achieve. Knowing what the basic elements sound like, is the first step towards spotting how they combine.
This isn't much different to, for example, knowing what a bass guitar sounds like, and knowing what a guitar sounds like, so that when you hear the two playing in unison, you recognise it as two instruments.
One difference between designing synth patches for music, and designing sound effects, is that sound effects are usually "one shot" affairs. Synth patches intended for making music need to sound good at different pitches. They need to respond in certain ways to louder or quieter playing, pitch-bends, legato.
In the world of film sound effects, traditional "foley" techniques are still used, and there's not much reason to replace them with digital alternatives. If dubbing walking effects, by thrusting shoes on sticks into a tray of gravel, works, why do anything different? I have no doubt that Transformers used, along with electronic sound effects, traditional foley artists. This shows that, even if it's possible to create any sound with a synthesiser, it's often easier to do it a different way.