Why is it important to exercise when trying to lose weight?

Going to the gym allows you to exercise to train your physical fitness so that you can stay healthy.

If you are refering to the Pokemon gyms, then I would say that the gyms are like just containing the bosses, like most other games where you must first defeat a hoard of monsters(the trainers) and then battle the boss(the gym leader). It's just to make the game more fun. More EXP!