I don't find the past perfect to be idiomatic here:

I had been working in the office when 9/11 happened.

I think the simple past continuous would be idiomatic there as the ongoing work in the office was interrupted by what happened at a particular moment on the morning of 9/11:

I was working in the office when the attack on 9/11 took place.

With he will have been exercising, his exercise will have come to an end either coincident with, or immediately before, their arrival. will be exercising would be used to indicate that the exercise will be ongoing when they arrive.

I don't find the past perfect to be idiomatic here:

I had been working in the office when 9/11 happened.

The simple past continuous would be idiomatic there as the ongoing work in the office was interrupted by what happened at a particular moment on the morning of 9/11:

I was working in the office when the attack on 9/11 took place.

Consider:

I had been working in that office for only three weeks when the attack on the morning of 9/11 took place.

There, the past perfect continuous is used in combination with a time phrase that gives the inchoate time-span definition, and that definition establishes a terminus that precedes the attack that took place.

With he will have been exercising, his exercise will have come to an end either coincident with, or immediately before, their arrival. will be exercising would be used to indicate that the exercise will be ongoing when they arrive.