If you want to see a cross-section in the drawing of an exploded view you can do as bc states.
If the exploded view is in the ISO orientation, look up broken-out section views in the help file to get detailed information on how to create section view in an orthographic view but apply it to the ISO view.
If you are talking about seeing the 3D model sectioned, there is the Cutaway View command under the View menu. I don't know how/if it applies to the Exploded View environment.
What version of SE are you running? SE v19 made several changes to the Exploded View environment and that is currently the version I have loaded if you happen to need additional step-by-step instructions.