And then there is the “fat but fit” phenomenon which has been pretty well documented when it comes to benefit of glycemic control and blood pressure. So there are benefits to exercise that go beyond weight loss. The other variable is fat vs lean muscle. This was addressed briefly when the question of waist circumference was raised, which is definitely a risk factor in men.
Results of a large Danish cohort study place the BMI measure with lowest risk for all-cause mortality in the “overweight” category.