I was given a room next to the gym at a hotel recently so I understand how irritating the noise and vibration can be (the hotel were happy to move me). But I also understand that gyms are inherently noisy places, and that one person's putting a heavy weight down gently might be another's slamming it down deliberately just to annoy them.
I also know that people work and travel at different times of day, especially in cities, and think it is unrealistic to expect those who don't have the same schedule or routine as me to hide away at times to suit me. Using various facilities during the day could just as easily disturb them too.
Is there an issue with having a guest room directly under a 24 hour gym? Probably. But the same might be said for rooms adjacent to the lifts or plant rooms or kitchen extractors, especially for a guest who is working nights. We're not all the same, it's a public space with a full spectrum of guests with a full spectrum of needs. I find it healthier to just view different as different rather than right or wrong
At 4.30am I'd have taken the other room offered straight away on the basis that we'd come back later to pack up the original room. I wouldn't expect compensation because someone was just going about their day using facilities that were open and they had paid for, just as I wouldn't if there was a family next door and the kids were kicking off. If it was too much for me I would ask nicely to be moved and get on with my day