Weight gain and decreased exercise certainly go hand in hand. The more you gain, the less you exercise -- the less you exercise, the more likely you are to gain. Your shortness of breath is of concern, especially since it started before you gained the weight. The fall in your oxygen saturation to 84% with activity would not be due to your weight gain. It is most likely due to a lung or a heart problem, despite what you have been told.
The normal CT scan is reassuring but does not explain why your oxygen saturation is falling when you are active. A complete pulmonary function test before and after inhaling a bronchodilator will identify if a problem with your lungs is the cause. An exercise study done by the cardiologist with oximetry to check your oxygen saturation will identify if a problem with your heart is the cause.
Good luck.
For info on 'weight loss surgery', see:
http://www.mayoclinic.com/invoke.cfm?id=HQ01465
Surgery for obesity: What is it and when is it appropriate?
Excerpts:
"To lose weight successfully, lifestyle changes