The Nanopuff (and similar garments) are great: they're light, compressible, warm, and windproof. All these things are great, unless you want to exercise with it on.
For warmth while moving, fleece is king. It's a bit heavier, not quite as warm, durable, and super breathable. Of course, this means it isn't as good if you aren't wearing it (i.e. it's in your pack) or aren't generating much body heat (i.e. sedentary activity).
Tradeoffs. Pros and cons.