What does this mean: "Avoid oral calcium, dairy products, shark cartilage & exercise during the medication."

However, I remember reading somewhere that in US English, when there is a list of items, the last item is NOT preceded by "and" unlike in British English.

This isn't true. Both American English and British English use and before the last item in a list. You may be thinking of whether or not to use a comma before that and, which does vary, although not by region.

Avoid oral calcium, diary products, shark cartilage & exercise during the medication.

Furthermore, the & symbol, known as the ampersand, is simply another way of saying and.

Thus, one should not exercise while taking the medication.

My opinion (reads, not medical advice) is that the entire list of things that you mentioned are NOT to be taken during your cleanse/medication or whatever it is that you are holding in your hand and reading the warning on.

I would also like to add an additional note/legal disclaimer here, that NONE of us here on EL&U, including myself, are counseling anybody on how to take any medication. No advice that we can offer you can or should replace the advice of a pharmacist, nutritionist or medical doctor.

My interpretation of the label was that there is a list of things to avoid, followed by an instruction to exercise during the 'cleanse'. The list ended with the ampersand, I thought.

Given that we're not sure whether the label follows rules of grammar, it would be wise to seek clarification from a health professional like a doctor or pharmacist.

It all hinges on whether exercise during a 'cleanse' is a good idea or not. I have no thoughts on that.