Setter's in favour of exercise, right? Wrong (8)
I believe the answer is:
improper
'wrong' is the definition.
(similar in meaning)
'setter's in favour of exercise right?' is the wordplay.
'setter's' becomes 'im' (I am - referring to the crossword setter).
'in favour of' becomes 'pro' (being pro a particular cause).
'exercise' becomes 'pe' (Physical Education).
'right?' becomes 'r' (abbreviation).
'im'+'pro'+'pe'+'r'='IMPROPER'
(Other definitions for improper that I've seen before include "Indecent or unsuitable" , "Inappropriate" , "So it may appear a fraction" , "Indecent, unseemly" , "'Not suitable, right or appropriate (8)'" .)