First link from a query of "exercise dementia": "Exercise Is Associated with Reduced Risk for Incident Dementia among Persons 65 Years of Age and Older" (http://annals.org/aim/article/719427/exercise-associated-red...)
Second link: "The effects of exercise training on elderly persons with cognitive impairment and dementia: A meta-analysis" (http://www.sciencedirect.com/science/article/pii/S0003999304...) (Conclusion: "Exercise training increases fitness, physical function, cognitive function, and positive behavior in people with dementia and related cognitive impairments.")
Overall the balance of the articles seem to indicate positive effects for exercise in both preventing dementia and even improving the prospects of people with dementia. This does not mean exercise is a "magic bullet" to completely preventing or curing dementia, but it seems like exercise helps.
Correlation is not causation. How many times do we have to repeat that? It could be that folks who are more physically active tend to have healthier habits as well due to their personality/behavior.
Let me quote what the study you linked said:
> However, the existing evidence does not prove that regular exercise is associated with a lower dementia risk.
Even your links say so.
Come on people