"Si" is here because the verb is reflexive: esercitarsi = to train oneself http://italian.about.com/library/fare/blfare118a.htm
So why not "lei esercita di notte" ?
Esercitare is a transitive verb (a verb that requires one or more objects). So taking that in regard and the fact that we don't have an object in our sentence we can safely rule out esercitare
I'm not 100% sure in my answer so I hope someone with better knowledge of Italian grammar helps us :)