I doubt whether it was an exercise. I agree with Capt Hank that it’s S.O.P. to issue a warning before such exercises are held.
But if the President really was visiting the Pentagon at the time, it’s also S.O.P. to have armed Coast Guard vessels standing off shore if the President will be passing anywhere near the water.
I remember that clinton repeatedly visited Manhattan for fund raisers or UN visits, and when his convoy was expected to come down the East Side Drive—or the West Side Drive—there would be Coast Guard vessels in the river for a couple of hours before and after he went by, presumably looking for divers and guarding against any odd boats.
Coincidence?