“Does exercise affect blood sugar?”

Yes it does in many ways.
https://www.diabetes.org/fitness/get-and-stay-fit/getting-started-safely/blood-glucose-and-exercise

YES it does. In general, exercise lowers blood sugar (BG) & is one of the best ways to lower it. There are exceptions however when exercise can raise BG. The lowering of BG by exercise can occur with the exercise or several hours after. Athletes who play football or basketball at night can sometimes have low BG during the night. The reason for this is that during the exercise the athlete uses up the stored sugar in the liver & several hours later the liver tries to replete it since it is needed for emergencies. In this instance eat a big snack before going to bed so the liver has carbohydrate available to store.