i have question about this too be sure :

Orion’s Favoured: Before investing any creation
points, a wood elf may train one of the following skills –
Ballistics Skill, Nature Lore, Observation, or Stealth

does it means i get 1 of this 4 skill for free?

Yes thats it means. Still means you can only have rank 1 max in it for a rank 1 character. So you cant train it as an elf and train it again in character creation.

ok thanks You, so i didnt get it right and i paid for this skill

It´s "free" because elves start with less creation points than humans. Same for other starting aptitudes and races