Natalie - The biggest issue with exercising in a corset is that lung capacity is very restricted. There are some that exercise while wearing a corset, but I personally remove mine for any kind of vigorous activity. I need all the breath I can get.
This could also because you may not be use to the corset. You really need to brake them in… i felt that way when i go my first steal boned corset but after wearing it every day for a few hours i got accustom to it. Now I wear it in almost all my play