There are some people who do huge amounts of exercise whilst on the programme (eg Deezer) and others who do/did very little (eg me!). It depends on you and your body. Let your PT know the level of calories you are on so that you can adjust if necessary. For the first few weeks your body is getting used to ketosis so I wouldn't do too much. After that I'd suggest building up to a level where you feel comfortable. I've also seen suggestions that on days when you work hard you could have an extra pack or protein.
The important thing is to do what works for you - push yourself but not so hard that it'll cause problems. I'm only starting my exercise regime now - after I reached goal - because I had issues during the programme. Am loving it now though!