While in effect very similar, wounds and exertions are indeed not the same. You can exert a character only V-1 times, where V is that character's vitality. Once a character is exerted that number of times, he/she is considered exhausted and can be exerted no more, but he/she can still be wounded. That wound would, unless prevented, kill that character. Also, cards that prevent wounds can't prevent exertions and cards that prevent exertions can't prevent wounds.
There is also a difference between cannot take wounds and prevent wounds. That has been discussed many times on the forum previously and simple search will find it for you.