Remember, if you have rooms above the exercise room, any ceiling speakers will be blasting audio upwards into those rooms and you may get a lot of screaming from SWMBO when you go to play your music while working out.
I would stick with in-wall speakers, everywhere if possible, especially in an exercise room which often has hard surface floors and is a very bright environment for audio. Sure, 5.1 is great if you are going to be watching movies, but for this room... well it is up to you. I probably would go with the 5.1 setup no matter what. Acceptable audio from decent in wall speakers can be nice, and when watching movies it's fun to have.
As described, A/V receivers have multiple surround modes, including 5.1 (or 7.1) stereo, which plays stereo music to all the speakers.