A dnd 4e dwarf fighter has the feat Dwarven Weapon Training, which reads: '+ damage and proficiency with axes and hammers.' Our dwarf is already proficient with both weapons, being a fighter. Does that mean his attack roll with these weapons remain unchanged, or does increase by 2 with the feat?
Proficiency is a boolean state - either you have it or you don't (for any given weapon).
So Dwarven Weapon Training will give a fighter the damage bonus, and proficiency with any axes and hammers they don't already have (exotic weapons!), but there's no additional bonus for already having proficiency.
Attack remains unchanged, damage increases by 2...
The dwarven weapon training feat specifies that it grants you proficiency in hammers and axes, including superior ones (there are none in the PHB1 or PHB2, but 6 in the Adventurer's Vault and maybe others elsewhere). Since the fighter is already proficient with military weapons, you do not gain the proficiency bonus again when wielding them. If you find a superior axe or hammer and begin wielding that, you would gain the proficiency bonus on attacks with it which you did not have before. All of the superior axes and hammers in the Adventurer's Vault have a +2 proficiency bonus, so their attack would remain the same as if you were wielding a military axe or hammer out of the PHB. There may be an axe or hammer with a different proficiency bonus, which would give you a different attack, but I'm not aware of them.
The feat also states that you gain a +2 feat bonus to damage. If you have no other feat bonuses to damage (and I can't tell by the question), this will increase your damage by +2. If you have other feat bonuses to damage, this will replace them if it is larger than they are, and do nothing if the other feat bonuses are already +2 or larger, per the bonus stacking rules (PHB 1, pg 192).