i know someone who joined an exercise aerobics class and had the same problem. it was all frum women, and they would go with pants, (no skirt on top) short sleeves (and sometimes worse, hameivin yavin) no head coverings… she asked a shayla about it and the answer was that al pi halacha it’s 100% ok because it’s all women. the analogy her posek used was – swimming and bathing suits. It’s really a sensitivity. Lemmaasa, there is a different part of tznius that is – even when someone is alone they’re suppose to dress properly because the Shechina is everywhere, and we have to be respectful and dressed accordingly everywhere. (this is one aspect of tznius that also applies to men)
As far as music, they also used goyish music, and sometimes with words – that were NOT appropriate under ANY circumstances. She found herself humming the tunes and songs throughout the day. At this point, she just left. she tried speaking with the lady who ran it and she got no where.
Blinky, it’s all a matter of extra sensitivities, and it never hurts to be more careful.