Hello Giuseppe,
I think I found a bug in the nath module. Try the following:
\usemodule[nath]
\starttext
\[ e^{f(x)} \]
\stoptext
And by the way, fractions in exponents are typeset too big:
\usemodule[nath]
\starttext
\[ e^{\frac{1}{\gamma-1}} \]
\stoptext
Best regards,
David