I agree with the others, but I don't usually think of PE as a "class" because it seldom has any specific focus. I might take a "yoga class", but that makes sense because it is focused on yoga. From my memory of my school days, PE never focused on anything. It was largely a waste of time.

Both "In PE class" and "In PE classes" are correct, but the choice depends on the context. In PE class: This is used when referring to a single PE class or a general concept of PE classes. For example: "In PE class, we learned about different sports." In PE classes: This is used when referring to multiple PE classes or a specific set of PE classes. For example: "In PE classes this semester, we've been playing basketball and soccer." In your specific sentence, "In PE class" is the more common and natural choice, as it refers to a general practice in PE classes. However, both options are grammatically correct and can be used depending on the intended meaning.

They both make sense. In British English, we could also simply say, 'In PE, we often ....'. This is informal, and relies on a share understanding that we are referring to the class/es. (In fact, we often use the word 'lessons' instead of 'classes'.)