Is it bad to not exercise at all after knee arthroscopy?

Exercise post arthro. a lot depends upon the timing of the 'exercise.' a complex knee scope with ACL reconstruction may take some time before one can 'exercise' normally. That said upper body work can be performed soonafter. Swimming will happen sooner than running; biking on a stationary bike may occur with minimal resistance as well. A well trained physical therapist should be able to gradually return you.
Yes. The exercises are essential for a good recovery. The strength of your knee is determined in large part by the muscles surrounding it. Weak muscles, weak knees prone to injury.