jslocum comments on Causal Diagrams and Causal Models - Less Wrong
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The fact that people respond to exercise differently to weight training and exercise non uniformly depending on their genetics and other factors is no big surprise. But showing no gains at all is something altogether.
I can think of several questions I would ask about the study you linked. For example: "In the combined strength-and-endurance-exercise program, the volunteers’ physiological improvement ranged from a negative 8 percent (meaning they became 8 percent less fit) " implies to me that the researchers didn't control for a host of other factors.
Anecdotes ARE data. Especially a life time of several of them all accumulating in one way.
Anecdotes are poisonous data, and it is best to exclude them from your reasoning when possible. They are subject to a massive selection bias. At best they are useful for inferring the existence of something, e.g. "I once saw a plesiosaur in Loch Ness.". Even then the inference is tenuous because all you know is that there is at least once individual who says they saw a plesiosaur. Inferring the existence of a plesiosaur requires that you have additional supporting evidence that assigns a high probability that they are telling the truth, that their memory has not changed significantly since the original event, and that the original experience was genuine.