If the exp() function is applied element-wise then $e^0$ is indeed $J,\,$ the all-ones matrix.
However, the convention for matrix functions is to apply them matrix-wise, i.e. as a power series in $A.\;$
And it is only in the matrix-wise sense that the exponential of a skew symmetric matrix is orthogonal
$$\eqalign{
\def\qiq{\quad\implies\quad}
A &= -A^T \\
E &= \exp(A) \qiq E\cdot E^T = I \\
}$$
In the element-wise sense, the exponential of a skew symmetric matrix is a matrix whose off-diagonal terms are reciprocals of one another
$$
F = \exp_{\varepsilon}(A) \qiq F\odot F^T = J
$$
where $\odot$ denotes the elementwise/Hadamard product.