It wasn't as if Jerome Exploded per say, it was more like he burst releasing an extremely powerful and debilitating wave of sound, that was probably on par with the yield from two atomic bombs…. Maybe it's a little exaggerated. But ultimate it had enough power to turn everything for kilometers to dust. Or that would have been the scene anyways if Cole was not uniquely suited to dealing with Jerome.
.what was space? Depending on who you asked there would be varying descriptions to it, but outer space was a vacuum, there was an absence of sound, life air etc. What does exist though is gravity, and while most of space if not all of it has an absence of gravity, certain locations like stars and planetary bodies gave of gravity of their own. But ultimately Cole's mastery over his [Gravity] ability was to the point where he could command and absence of it, essentially creating a vacuum where there is no sound or air.