I recall originally reading something about a measure of exercise-linked gene expression and I'm pretty sure it wasn't that New Scientist article

That's certainly possible. Bouchard and others, after observing that some subjects were exercise-resistant and finding that like everything else it's heritable, have moved onto gene expression and GWAS hits. Any of those papers could've generated some journalism covering the earlier HERITAGE results as background.

20% of the population being immune to exercise seems to match real-world experience a bit better than 40% so far as my own eye can see

Another study suggests it's more like 7%. Probably hard to get a real estimate: how do you do the aggregation across multiple measured traits? If someone appears to be exercise resistant on visceral fat, but not blood glucose levels, do you count them as a case of exercise resistance? On top of the usual sampling error.