No, you're free to Zumba.
One study showed that extreme exercise — the kind that completely wipes you out and turns your muscles to jelly — raises lactic acid levels in your milk, which could potentially make it taste a little bitter. Normal aerobic exercise (a dance class, a workout video, a nice jog) shouldn't have any effect on your milk's taste, though, so go ahead and get out there.
There have been several studies testing the quantity and quality of exercising mamas' milk — and you're in the clear on that front too. None of the studies showed there was any harm done to the content of the milk and, in one study, active moms actually produced more milk.