I was imagining a little rat-sized treadmill... but I guess that's essentially what a wheel is ^_^
Even my non-wheel-runners get a lot of exercise just by running around during free time, and they all like to climb around on stuff in the cage, which I guess its exercise. As long as they're getting good food that isn't too fattening, and run on the wheel or run around during free time, and have enough room in their cage, they should be nice and healthy!
The one in question has a ferret cage that's about 4 feet tall. I think he has more space compared to his body than i have in my tiny one bedroom apartment :0) He climb a lot, i just which he would play fetch or something.
You might want to try one of those toys for cats with a feathery thing at the end of a stick. One of my rats will chase dangly things like a cat does, and most rats love playing with feathers. You might get him to chase it around ^_^
I play hand tag with one of my other rats - she'll chase my hand around and then pounce on it and groom my fingers for a few seconds and then run off, and I'll chase her with my hand and "catch" her and pet her a bit, and then we start over again