I ended up doing this and it solves the problem.
Add an id to tbody:
# index.html.eb
<tbody id="exercises">
<%= render @exercises %>
</tbody>
Make some changes to # _exercise.html.erb
<%= content_tag :tr, id: dom_id(exercise) do %>
<td><%= exercise.name %></td>
<td><%= exercise.description %></td>
<td><%= link_to exercise.video_url, exercise.video_url %></td>
<td><%= link_to 'Show', exercise %></td>
<td><%= link_to 'Edit', edit_exercise_path(exercise) %></td>
<td><%= link_to 'Destroy', exercise, method: :delete, data: { confirm: 'Are you sure?' } %></td>
<% end %>
Create a new file # views/exercises/create.turbo_stream.erb
<% turbo_stream.append 'exercises', @exercise %>
It should now working.