I don't mean to play devil's advocate but I would advise not wearing during exercise. I made this mistake a while ago by running right after work, from my office, and not washing my face before hand. Needless to say I had a terrible breakout--- the worst I have had in five years--- and I am still trying to clean my skin up.
Now before I go to the gym or running I make sure to wash the make up off my face. Honestly, I think that it is imperative that you do so and really during athletics it is kind of a faux pas to wear make up, even if you have blemishes. But in sports like soccer, in which you may be running for a couple of hours, all that sweat will mix with the makeup on your face and will be very hard to get off afterward. It is not worth and also, during a sporting event, people are going to be so wrapped up in the competition that nobody is going to be looking at your face.