So, sure, exercise helps at a certain point. But, take into account:
* If you're fat, your base metabolic rate is insanely high. Obese people are easily at 3000+ calories needed _just_ to maintain that mass.
* If you're fat, it's going to be almost impossible for you to do sessions where you burn 500 calories, simply because you're out of shape and possibly exercising injures you. Running isn't exactly good on your knees if you're overweight. Realistically, you'll do 200-300 cal sessions, at best, every day.
* If you're fat and you manage to burn these 500 calories... Good job, but that's less than 20% of your daily intake. Not eating something is infinitely more simple and efficient.
Our bodies are incredibly efficient at exercising without using lots of energy. Unless you do it for long and hard enough that you reach huge numbers of calories burned, diet is the most important component of losing weight.