Bad lower leg pain immediately after exercising but not during active sports. any thoughts?

Depends on exercise.: It depends on gthe exercise you might have been doing. Repetitive motion might put pressure on some joints and bones over time and cause pain, as well as the sudden relief of the action. The muscles may need relief. This might be a circulation issue or a plantar fasciitis issue with pain from weight on your foot and lower leg. Sports make you use all your muscles, etc.. Be more diverse.

Shin splints is: A possibility, another possibility is something called exertional compartment syndrome. This is when the legs swell from vasodilation and then it compresses a nerve in the leg. If its shin splints it will occur along the front of the shins. The shin splints can be treated with orthotics or shin splint braces, if it's exertional compartment syndrome you would need the help of a doctor.