They’re probably training skill more than they are physical fitness. I suppose there’s the slim possibility that some of them could be so close to a living state that their body’s processes never stopped and they’re able to develop muscle, but for the most part they’re pretty much stuck in their state of death, so save for those few who still have those body functions that enable muscle development (probably mostly DKs of the Blood school), there’d not be much of a point to doing muscle exercises like reps or squats or pushups.

But this doesn’t mean they can’t get better at combat and agility! A more effective twist of the blade, more balanced footwork, things like that. If an undead doesn’t have the ability to feel, a weapon in their hands might be a bit awkward to grasp because all they have is a vague sense of pressure to let them know they’re holding it. Training with that particular weapon can acquaint them with its weight and size so they can master their skill with it. Likewise, a lot of movement without training might be a bit more “lumbering”, and training yourself to follow certain movements can help retain your agility, even if you can’t quite feel your own feet.