since i wouldn't want it flapping about, and i agree with Toby_Zaphod that you wouldn't jump until the horse was warm anyway, i wouldn't jump in an exercise sheet... unless maybe it was tipping down with rain and i didn't want the horse getting wet, i guess.
I have done if I've been out hacking and popped a jump while I'm out or when I get back. I don't usually school in a sheet though and if I was planning on a serious jumping session I wouldnt put a sheet on.