Proof for the special case $k=1$
The function
\begin{align}
f: \left]-\infty,1\right[&\to \mathbb R\\
a&\mapsto a/(1-a)
\end{align}
has the derivatives $f'(a)=1/(1{-}a)^2$ and $f''(a)=2/(1{-}a)^3>0$, especially $f(0)=0,f'(0)=1$ and $f$ is convex and therefore $f(a)\ge a$.
This shows already that $(n-1)/n+f(a_1)+\dots+f(a_n)> a_1+\dots+a_n\ge 0$, i.e. the statement for $j=1$.
We use the above substitution $b_i=1{-}a_i$, and find that
\begin{align}
e_2((n{-}1)/n,f(a_1),\dots,f(a_n))&=e_2(1/b_1,\dots,1/b_n)-(n{-}1)^2/n\sum_i 1/b_i+(n{-}1)(n{-}2)/2\\
&=:A(b_1,\dots,b_n)
\end{align}
with the above-mentioned constraints.
Assuming that $b_1 \le \dots\le b_n$, we show now that
$$A(b_1,\dots,b_n)\ge A\left(b_1,\frac{b_2{+}\dots{+}b_n}{n-1},\dots,\frac{b_2{+}\dots{+}b_n}{n-1}\right).$$
We calculate $$\frac{\partial}{\partial b_j} A(b_1,\dots,b_n)=-\left(\sum_i \frac1{b_i}-\frac{(n{-}1)^2}{n}-\frac1{b_j}\right){b_j}^{-2}\\
=:(1/b_j-B)b_j^{-2}$$
and claim that this is monotonically increasing in $j$ for $j\in{2,\dots,n}$. Fix B and derivate once again, to obtain
$$
2Bb_{j}^{-3}-3b_{j}^{-4},
$$
hence our claim turns into $2B-3/b_j\ge0$. This is estimated, using $b_{1}\leq b_{2}\leq b_{j}\leq\dots\leq b_{n}$, by
$$
2B-3/b_j\geq-2(n{-}1)^{2}+1/2/b_{1}+1/2/b_{2}+\sum_{i=3}^{n}2/b_{i}=:C(b),
$$
which is a strictly convex function in $b$ with a unique minimizer in the half space $\{S_{1}(b)\ge1\}$. The minimizer with this constraint reads
$$
b_{1}=b_{2}=\frac{1}{2n-2},b_{3}=\dots=b_{n}=\frac{1}{n{-}1}
$$
with the minimum 0. Now, for $t\in[0,1]$ consider the functions
\begin{align}
b(t)&:=(1{-}t)b+t\left(b_{1},\frac{b_{2}+\dots+b_{n}}{n{-}1}\right),\\
g(t)&:=A\left(b(t)\right).
\end{align}
As $b$, $b(t)$ satisfies the constraint $S_{1}(b(t))\leq 1$ for all $t$ and $b_{1}(t)\le\dots\le b_{n}(t)$.
To show that $g$ decreases, we derivate
$$
g'(t)=\sum_{i=2}^{n}\left(\frac{b_{2}+\dots+b_{n}}{n{-}1}-b_{i}\right)\partial_{i}A(b(t))=:\sum_{i=2}^{n}c_{i}\partial_{i}A(b(t)).
$$
Since $i\leq j$ implies $c_{i}\ge c_{j}$ and $\partial_{i}A(b(t))\ge\partial_{j}A(b(t))$, Chebyshev's sum inequality implies
$$
g'(t)=\sum_{i=2}^{n}c_{i}\partial_{i}A(b(t))\leq\left(\frac{c_{2}+\dots+c_{n}}{n{-}1}\right)\sum_{i=2}^{n}\partial_{i}A(b(t))=0.
$$
This shows that $g$ decreases mononotically and that
$$
A(b)=g(0)\leq g(1)=A\left(b_1,\frac{b_2{+}\dots{+}b_n}{n-1},\dots,\frac{b_2{+}\dots{+}b_n}{n-1}\right).
$$
It remains to show the inequality for $b_{1}\leq b_{2}=\dots=b_{n}$. The constraint turns into $b_{2}=(1{-}b_{1})/(n{-}1)$ and we have to minimize
\begin{align}
-(n{-}1)^{2}\left(\frac{1}{b_{1}}+\frac{(n{-}1)^{2}}{1{-}b_{1}}\right)+\frac{1}{b_{1}}\frac{(n{-}1)^{2}}{1{-}b_{1}}+\frac{\left(n{-}1\right)\left(n{-}2\right)}{2}\frac{\left(n{-}1\right)^{2}}{1{-}b_{1}}
=\frac{(n{-}1)^{2}(n{-}2)}{1{-}b_{1}}\left(-n+\frac{n{-}1}{2}\frac{1}{1{-}b_{1}}\right).
\end{align}
The minimizer is attained where $1/(1{-}b_{1})=n/(n{-}1)$, which leads to $b=(1,\dots,1)/n$, $a=0$ and $S_{2}((n{-}1)/n,f(a_1),\dots,f(a_n))=0$.