You are right that exercise isn't a good way to lose weight, I am not talking about that at all. By magnitude of benefit I am talking about mortality/longevity/frailty, not weight loss. That's what really matters.
The relationship between body weight and hard clinical outcomes is complicated and not monotonic (obese pre-menopausal women are less likely to get breast cancer, to provide one example). Additionally, asian people suffer from the skinny-fat phenomenon, where they are not obese but have metabolically pernicious visceral fat.