Thanks, I just realized I was also assuming exp to be surjective as well, I stand corrected.
The Wikipedia page[1] mentions the issue briefly but I was curious of the counter-examples. IIUC, matrices in SL(2) with trace < -2 have two distinct eigenvalues, one of which is negative[2], and such matrices cannot be reached by exponentiating elements of the Lie algebra sl(2) (traceless matrices).
[1] https://en.wikipedia.org/wiki/Exponential_map_(Lie_theory)#S...
[2] https://en.wikipedia.org/wiki/SL2(R)#Classification_of_eleme...
I found this nice accessible proof for the interested: https://planetmath.org/slnrisconnected
This is not always true, I think sl2(R) is an example of a connected, non compact group such that the exponential map is not surjective.