i'm having the same problem. i created a new exploded view (Exp0001), exploded all the parts, and then drew all the exploded view lines.
i went into my drawing, created a new view and checked the "exploded view" box. i got the view i wanted, looks great, but there's no option for exploded view lines.
i went back to my assembly, exploded it, and no lines are visible. if I go into view manager, i can't select the exploded view lines to edit or delete them. there are a bunch of offset lines listed in the Family Tree, but clicking on them and hiding / unhiding does nothing.
i'm guessing this is another glitch in Pro
i don't see how this program, which has been out for a while, has so many bugs. i don't remember ever having this many problems with SolidWorks 2001. the explode options in that were so nice, with individual steps and everything.
even the exploded view lines are tedious in ProE and still don't look right. they dont zig-zag, but make angles and other crap.