That's a great question. I started my cardio rehab in September and while my insurance would keep paying for sessions until the end of the year, I made the choice after Thanksgiving (and about 20 sessions) to stop due to the risk/reward ratio of covid. I'm in Texas. I already work out every day so the benefit of getting me into the habit of working out was nil. My purpose of going was to be monitored in the early days to gain confidence and I do think there's a benefit to that.
The facility was not crowded, with about 5 workers and maybe 3-5 patients at a time. Everyone wore masks. It is not fun to wear a mask while really working up a sweat on the treadmill but it's the only way I would have done it in this era. Not sure what I'd advise, but I think it might warrant a call to your doctor for an opinion. Of course the rehab facility will be all for it, but these are crazy times.