It’s incredibly difficult to get into a calorie deficit purely with exercise. For a start, the more you exercise, the more calories you need to fuel it - fat alone can’t fuel a good, balanced workout, because it can’t convert to glycogen, and that’s what you need to power your muscles for any kind of resistance training. Otherwise your muscles will cannibalise themselves to fuel the workout. Cardio can burn fat or glycogen, but if you want to get healthy, fit and toned, not skinny-fat, you’ll want to pair your cardio with strength training (and always doing the strength training first, after a short warmup).

But more than that, it’s just about the numbers. It can take you ten minutes to burn off what it only takes ten seconds to consume. There’s a reason they say “you can’t outrun a bad diet”. You lose weight in the kitchen, not the gym.

Now, in terms of building fitness? That you absolutely do in the gym. You can have a high BMI and be fit as a fiddle, because your heart and lungs are in tip top shape and your muscles are strong - and I’m not even talking about bodybuilders or whatever here, even just normal people who happen to have a lot of weight to lose can get there. You can still be officially obese and be going to the gym five times a week (because you started off as a higher category of obesity), and just because your waistline isn’t where you want it to be doesn’t mean the exercise isn’t doing excellent things for you. Obviously muscle burn more calories at rest, so the bigger and stronger your muscles, the faster your metabolism will get, and the faster you’ll lose weight, and as you rightly say, every bit of exercise improves that calorie deficit, so your weight loss will increase there too. But far more than that, your health will be improving all the time. You will be strong, you will have great stamina, you will improve your heart and lung function, your blood pressure will be right in the middle of the green zone, you will sleep better and feel good in yourself because you’re full of endorphins. A fat person who works out regularly is, all things being equal, likely far healthier than a thin person who never does any exercise at all. So it’s absolutely worth it to work out regularly for anyone, whether you’re trying to lose weight or not.