Sure, but not in the same tiny shed they work in. Half the benefit of taking a break comes from getting away from your desk.

Presumably you still need to go and shower afterward, so back into your house, so why have it right next to your desk?

Depending on your house, treadmills can be very loud. Either second floor or the ground floor over a crawlspace or basement can be annoying to others.

Or you might not have the space in your house to dedicate to exercise equipment.

Having the outbuilding serve as both an exercise room and a separate office solves both these problems.

I guess the 'office' might work well as a mini gym by itself - forgetting about using it as an office at all.