I'm no athlete so you'll get better answers I'm sure, but I think the theory is that this is such a low cal diet that if you burn more in exercise you can be losing TOO many calories. Your body may go into the 'starvation mode' mentality and actually stall your losses. That's why people recommend an extra pack when doing exercise.
Find a post by "John" -- he's a bit of a fitness guru and will explain why everything I just said isn't right and give you the real info. I'm allergic to exercise (it gives me nasty symptoms like red blotchy face and I feel all hot and flushed, might even get sweaty-- sure signs of an allergy right?
....) so when someone says I can't do a ton of exercise I lovingly sigh and say "Mine is not to question why..."