An athlete is not a profession. Otherwise you wouldn't have to say "professional athlete" when talking about a pro.
Think about it. If you were talking about Labron James' occupation you would either say "pro athlete" or "basketball player" instead of just an athlete.
I agree that it is confusing since this lesson's theme is occupations and they have sentences that use the unprofessional form.
What throws me is that with the "a" at the beginning of "atleta," it is hard to hear whether the speaker says "un" or "una," and it was the female voice saying "un"! I put it on snail speed so I could hear the words separated, and I got it right, but still it seems just odd to hear a woman saying anything about herself being "un" anything!