Structured nutrition and EXERCISE program???

I have BCBS PPO (Highmark out of PA) insurance---I originally applied for preapproval for RNY and was denied b/c I had not met the requirements of a 6 month supervised structured nutrition and exercise program (they have said I meet all the other criteria...BMI is 43 w/comorbids, so I exceed that....).  I
 
have just finished my fourth appt w/my PCP, who is supervising my diet (which I am getting from my Registered Dietitian/NUT) and my exercise program.....so, my question is:

I rcv'd a letter today stating that the insurance company automatically appealed my original denial on my behalf and that they were still denying it based on the same lack of 6 month supervised diet & exercise program.  I will have an appt w/my PCP in December & one in January & that will be 6 months.....I feel confident about the physician supervised diet part since I am meeting monthly also with the R.Dietitian, however, I am concerned about what they mean by "structured exercise program". 

Their definition in my policy is vague...it just says "increased physical activity documented in the medical record for a cumulative of 6 months or longer w/in two years prior to surgery".  I have been going to our local gym and working out.  I have a print out from the gym of every time I have scanned my card to work out at the gym and I am meeting with one of the trainers at the gym once a month to go over my progress and so that she can do a Microfit test on me, which shows any improvement in my stats (weight, body fat, flexibility, cardiovascular health, etc., etc---very detailed).  I am keeping copies of all the microfit tests and my chart of what cardio & weight workouts I do at the gym.  Then, I take those to my PCP who notes all of it in my medical chart. 

Is that satisfactory for a structured exercise program or do I need to be seeing an exercise physiologist or someone else?  It doesn't require me to do that per my policy, but is that something I should automatically know?  I don't want to give them any room for another denial when I resubmit this in January/February.

The last paragraph of the second denial letter says, "The Committee reviewed the additional documentation submitted.........(denial language) .......In addition you have participated in a variety of wieght loss programs and are visiting the gym for evaluation and counseling regarding weight loss.  However, there is no evidence of a supervised structured nutrition and exercise program as required in the above medical policy..."

So, are they saying my trips to the gym for "evaluation and counseling regarding weight loss" are okay, but they need to be supervised by my PCP or that I am not doing enough by going to the gym.

Frazzled....help!