They were only allowed out during certain times and for a certain number of times during the day during their imprisonment, therefore their exercise, I'm sure, was limited. The girls would also alternate sitting with their mother, meaning that they would not all always be able to go out.
And like I said before, they could NOT play tennis all yearround and I'm sure during the winter that they couldn't always go out. It gets very cold in winter in Russia. I don't catagorize building ice mountains as "exercise" anyway.