Exercise is a rather huge field of the BDSM world. Mainly works pretty
the same like in sports, to be good in something, you need to train it.
So Exercise can be everything.
The whole life of a submissive can be an Exercise. Be it to always remind yourself to address your Top correctly, show the wanted behaviour and gestures. Pretty often is some kind of position practice for the submissive, where he/she trains to remain a given time in a certain position or posture. Similar to sports training some subs have to train their abilities in reaching and/or riding an edge, endure pain or simply their condition during sexual intercourse.
Excercises can also be used to give the sub a theoretical chance of earning some pleasure. Like making him/her staying on one leg, spreading the other to the side with hands bound over head. For each minute the sub is able to remain the position he earns the right to stroke a defined number of strokes. To increase the difficulty the Top could apply weights to different body parts of the sub, or distract him in other ways with heat, slaps or whatever hits the Tops mind.