I do think that when people say that exercise doesn't help them lose weight it is probably the case that they are not doing enough of it in order to gain a calorie deficit.
When I'm doing light exercise, e.g. gym or swim twice a week, plus horse riding one day at the weekend, it doesn't make that much difference to my weight, although it helps me maintain fitness and helps me keep some core strength.
However, I have had some physical "outdoors" jobs in the past at a dog kennels and at a stables. When doing these jobs I'd often be walking several miles a day, at a decent speed over rough terrain, be on my feet most of the day, often have to lift things, and do manual labour type tasks. When working at this sort of level even if it wasn't every day of the week, I would lose weight, even when eating more to compensate for it.
For example, normally for lunch I would have a sandwich and some fruit (either an apple or a banana) but at the kennels, we would be given a pasty for lunch, and I would normally have some biscuits or chocolate as a snack and eat a normal portion of dinner, and I was still losing weight some weeks. I was quite young and already at the lower end of a healthy BMI when I started the job, so I had to make a conscious effort to eat more in order not to lose too much weight.
When I worked at the stables for a summer, I'd put on about a stone over the past year and lost around a stone and a half without even trying. Admittedly, some days, I wouldn't eat lunch, because I didn't have time/wasn't hungry.
When working in a semi-sedentary job or studying, it's not possible to replicate that level of constant physical activity from, say 9.30-5pm even if it's not very intensive exercise, and I find it hard to exercise for the sake of staying slim unless I enjoy what I'm doing.
To be fair, when I am a comfortable size 8, I am often skipping meals, and if I snack it's because I haven't eaten a proper breakfast, or a proper lunch, or sometimes I will graze in the evening instead of having a proper tea. It's hard to write what I would eat on a typical day, because my eating is very erratic and I will sometimes go through phases where I eat very little but occasionally binge, which isn't healthy at all.