"The connection between exercise and brain health has now been super conclusively and astonishingly shown, but what are some possible evolutionary reasons for this connection?"

Your question assumes that bodily health and brain health are separate and distinct things - as if we are mental beings that just happen to have bodies.

Perhaps we should read the headline as "exercise releases body healthy protein" ... I doubt we'd consider that an evolutionary paradox.

Probably these results should be considered ipso facto.