The Tsar was passionate about exercise, perhaps to make up for his short stature (especially in comparison to his father) but also, he seemed to just enjoy being active.

From Anna Vyrubova's memoirs:

To tell the truth, the Tsar was rather weak and lean. When he was sitting it seemed he was well-built but in fact he was not even of medium height because of his short legs. Nevertheless, he managed to harden his organism by sports and physical exercise in fresh air and develop physical strength.

She notes that, in particular, he was an excellent and avid swimmer and enjoyed long walks:

The Tsar loved the sea and swimming, he also liked to stop for some time in some place before getting to the next island. On the archipelago he went in for shooting. The Emperor was a good swimmer and he devoted every moment of his free time to that sport. The Empress was the only one from the family who could not swim because of her weak heart. The Tsar liked long walks. He used to go for 2-hour walks choosing the most difficult paths.

You can see a chinning bar in his bathroom here (from Bob Atchison’s Alexander Palace Time Machine). Although not pictured, Bob Atchison also notes that the Tsar had weights in his bathroom.

Due to young Alexander's health issues, the entire family would often exercise together (see here). "Building snow houses, chopping wood and shoveling snow entertained the family during the winter months, while riding, hiking, tennis and planting trees occupied them during the warmer months."

Interestingly, biographers often juxtapose his physical prowess with his failures as a tsar. "He kept in excellent physical shape by taking vigorous exercise, A strong walker and an indefatigable rower and tennis player... He romped with his children as if he belonged to their age group. However, time had not added to his intellectual powers but had simply given him a working knowledge of the government." (From the same source as above, and also Poliakoff, Tragic Bride, 193.)

All in all, he seemed to have been an extremely active person who thrived on physical exercise, but also seemed concerned about his physical appearance.

Very interesting question!

Yes, Nicholas II would have exercised for several reasons - aesthetic value and messaging (in the very literal sense of strong leadership), certainly, as well as enjoyment. He certainly had an active lifestyle, and his physique is not incidental.

The source best suited to explore his personal approach to exercise is probably his diary, where he speaks often of skating, swimming, sailing, tennis, and walks.

Here's a rather typical example from the summer of 1905:

The heat was healthy. In the morning I was quite busy until one o'clock... As a thunderstom was approaching, did not play tennis for long - the downpour was very heavy...

There are a few threads here: one a genuine appreciation of athleticism, especially outdoors (as you see here, though he was well-regarded as a gymnast). Though you will references to stepping away from the demands of leadership by embracing nature, though these are somewhat less explicit in Nicholas' own writings. Second, there's an international interest in athletics during his reign - the first modern Olympics being held in 1896 - so an interest in highlighting a new, modern, perhaps cosmopolitan Russia. Other, broader reflections of Nicholas' view of sports can be seen in the creation of a Russian Olympic Committee and sponsorship of regional programs intended to foster an interest in sports. Nicholas significantly reformed and expanded educational systems, attempted to restructure local government, oversaw expanded industrialization - improving Russian athletics fits well within his projects.