Exercise can effect phe levels. The way I understand it though is that it is not due to an increase in body temperature. Instead, calories are being burned just like they would be when your body is working hard to fight off illness. After those calories are used the body can sometimes turn to breaking down muscle to get energy. Because muscle is essentially made of protein, when this happens protein is basically being put into his blood stream.
Back in middle school when I started track and field I was told to drink formula shortly before becoming active, because my levels had increased a little bit. This gave my body a small boost of extra calories and phe-free protein to burn off while I exercised.