Log-linearization and bonds which are zero in steady state

It’s not inconsistent at all. At first order, it is simply a scaling with the Jacobian, i.e. the steady state of the variable. You are expressing everything in percentages if you put it in exp(). But some variables are already in percent or a percentage of it does not make sense as the steady state is 0. In those cases, you don’t do the exp()-substitution. Also note that doing a full exp()-substitution is not recommended. See