I think it should probably stay where it is, I wouldn't even think to look for it under weight loss. Having said that I hadn't noticed it had been moved from fun and games, so if you moved it I would just use the A to Z list to find it again.
Slightly OT but is there any way of removing that very, very, very looong list of local boards from the A to Z list? Either one link that says 'local' or shove it to the end of the list.
It would make sense to have a sport/exercise bit within weight loss section . But then you have serious sporty type who exercise for funnot because their bum is like a carrierbag of cottage cheese , so they may need one in more general section as well