I assume it's because it's written as one "word" in Japanese: 体操ザムライ
That's, iirc, a rendaku-word, where the first syllable of the following word changes slightly. Similar examples:
Sato = hometown; Kokoro = heart; => Satogokoro = Homesick
ko = small; sara = plate; => kozara = small plate
ude = arm; tokei = watch/clock; => udedokei = wrist watch
Seeing western outlets just keept the Rendaku for just "Samurai" is indeed weird.