What does it mean to "be in ...but not of...."

Solution 1:

The "in not of" language is probably most common because of its usage in the New Testament, in places like John 17, where Jesus is seen praying to God regarding his followers:

the world has hated them because they are not of the world, just as I am not of the world. [...] As you sent me into the world, so I have sent them into the world.

The general idea is that Jesus and his followers are in the world, in that they walk on the earth, interact with people, and so forth. But they are not of the world, in the sense that the earth is not their true home, it is not where their ultimate allegiance should lie.

Thus, your workout video is likely saying something along the lines of "go to the gym, but don't be addicted to it; don't let it take over your life."

Solution 2:

A journalist reporting on an event might be marching with protesters, so she is IN the march. But, as a reporter she cannot be OF the march, as she may not share the priorities/grievances of the marchers.