We derive the gradient expansion for the exchange energy of a spin-polarized electron gas by perturbing the uniformly spin polarized state and thus inducing a small non-collinearity that is slowly varying in space. We show that the exchange-energy contribution due to the induced longitudinal gradient of the spin polarization to the exchange energy differs from the contribution due to the transverse gradient. The difference is present at any non-vanishing spin polarization and becomes larger with increasing spin polarization. We argue that improved generalized gradient approximations of Spin-Density-Functional Theory must account for the difference between the longitudinal and transverse spin stiffness. ; Comment: 9 pages, 6 figures