Sam, I’m going to guess that some may be extrapolating that heter from the B”Y being mattir certain cases, such as music for workers doing physical labor, to help them work (which would, agav, indicate that for exercise it would be muttar).
However, l’aniyus daati, there’s a chilluk. In the B”Y’s case, the purpose of the music is not for the enjoyment, it’s for the motivation. In the case of a nervous person, she does need the enjoyment, albeit to calm her nerves. Hence, R’ Shlomo Zalman was only mattir b’tziruf that the type of music he’s talking about is of questionable issur anyhow.