So first, the phrase "are (you) exercising" could mean either "doing exercises right now", or it could mean "doing exercise on a regular basis" (an ongoing thing, but not necessarily right now). In this context, it is pretty clear that "exercising" is being used to refer to the latter (ongoing, on a regular basis). What this sentence means, therefore is:
- "Are you exercising" -- are you in the ongoing habit of exercising regularly
- "or have you been exercising recently" -- were you previously in the habit of exercising regularly (but have recently stopped)
Here, "recently" is a bit vague, but for the purposes of a questionnaire, it doesn't really matter. What they're really trying to find out is just is regular exercise something you've not done for a long time, or are you reasonably familiar/used to it?
The reason both forms are used is actually really because they want to emphasize the ambiguity of the question. They don't want people thinking they mean only one specific interpretation when they actually just want to know a more general answer. If they said:
Are you exercising?
Then some people might interpret this differently than intended. "Well,
I have been exercising up to now, but I don't plan to do as much in the future, so maybe I should say 'no'", or "Well, I do usually exercise, but I haven't been able to for the past week, so I guess the answer is 'no'." (but these are both situations where the people giving the questionnaire would probably want you to answer "yes")
On the other hand, if they said:
Have you been exercising recently?
Then this might be misinterpreted as well: "Well, I don't normally exercise at all, but I did run a bit yesterday, so that was recent exercise, right?"
In this case, the combination of the two ("Are you exercising, or have you been exercising recently?") actually makes it clear that they're not looking for specific instances or fine distinctions, but just want a general answer about your overall recent exercise habits. The "are you exercising" part makes it clear we're talking about general ongoing exercise, not specific instances (since it wouldn't make sense to ask someone filling out a form if they were also exercising right now), but the "or have you been exercising recently" makes it clear that it also isn't really important whether you stopped recently or not, they also want to know about that case too.