Sorry you are not getting answers to your questions from your doctors. Could be the wording in how asking or???? I found this link that might be helpful on how the heart and lungs work together. Then you did not mention if this exercise program is on going or if it is something new you are trying for that can make a difference on how all is working together. Sometimes when I am feeling really good I push myself beyond what my body is use to / ready for thus causing me grief, not just for the lungs but my overall body with overly tired muscles. I have been at a few cardio and pulmonary rehabs that have taught me to start out slow and over time, say like a week of doing the same things, then try to "bump up" the exercising a little bit, and that for a week and then build more. Slow and steady gets us to our goals with out causing to much grief. Anyway, I would recommend trying to chat with your doctors again, maybe even asking for a "Rehab" program so you may have the chance of learning the way your body now (with copd) works and a path for you to follow as you continue to keep yourself healthy.
Here is that link I mentioned above.
https://www.lung.org/blog/heart-lung-relationship