Your proof of closure is confusingly written. You are using $e_n$ to denote both an arbitrary element of your set and an element of the sequence. You only really proved that in order for $a$ to be arbitrarily close to a particular element of the set, it must be equal to that element, which is, of course, true, but doesn't yet prove anything. $0$ is not arbitrarily close to any element of the sequence $\frac1n$, however it is there "in the limit".
I would change the proof to state that the only way a sequence of points from the set converges is if it is constant from some point on.
Your proof of non-compactness also needs more thought. The simple fact that the distance between any pair of elements of your set is $2^{\frac1p}$ that causes the set to be non-compact. The set $\{0,1\}\subseteq \mathbb R$ is compact, even though it has a similar property, and, as you noticed, finite dimensional bases also have this property.
The thing is that I can construct a sequence, in particular, $$e_1,e_2,e_3,\dots, e_n,\dots$$ for which, no matter what subsequence I take, any pair of elements of the subsequence will also be at a distance of $2^{\frac1p}$. This is a property not shared by finite dimensional bases, where I will inevitably have to repeat some basis vectors infinitely many times, and I can take the subsequence consisting of just that one infinitely repeated vector - and clearly, the subsequence will converge.
This should now let you see the error in your saying:
by the before stated theorem, since the set $(e_n)$ is still bounded and closed even in the finite dimension, the set should be compact, yet the elements are a constant distance apart and hence cannot converge, which is a contradiction.
What you are doing is assuming that all the elements are different, which means you are implicitly assuming infinitely many basis elements - a property explicitly prohibited in finite dimensions.
Note: Even in infinite dimension, it is possible to construct a sequence that does converge, by repeating an element infinitely many times. The catch is that in finite dimension, you will always have a convergent subsequence, but in infinite dimensions, you might not.
Best Answer
Your strategy for proving closedness (take an arbitrary limit point then show this point belongs to the set) is the right one under most circumstances. This problem, however, is somehow special.
For one thing, the set $E$ actually has no limit point. To see this, simply note that for $x\neq y\in E$, $\|x-y\|=2$ so there is no Cauchy sequence in $E$, let alone convergent ones. So in particular, there is no limit point to this set $E$.
After you show there is no Cauchy sequence in $E$, you can just take a countable subset in $E$. Since this countable subset has no limit point, we see that $E$ is not sequentially compact, which implies non-compactness in a metric space.