If you google "Catalyst chemo exercise" you will find a recent Catalyst (ABC) program that highlighted the benefits of prescribed (exercise physiologist) exercise during chemo and radiation treatments. The chemo patients actually had chemo and then went immediately to the gym at the same hospital and exercised.
They did adjust the program to each person and take into consideration individual chemo side effects but their research is showing that the right type of exercise enhances the chemo experience for most people. It makes chemo more effective against the cancer and helps the body to handle side effects more easily. Some patients come out the other side in better condition (more muscle for example) than they were in before chemo!
I also walked during chemo as much as possible. I do wish that I had had the opportunity to see an exercise physiologist and find out more targeted exercise to do as well. I think more oncologists are aware of the research that is showing exercise can be of benefit during chemo. My oncologist was supportive of my walking. But I only had one round with neutrophil issues. My oncologist never suggested that it had anything to do with my walking.