Learn English – Is emotional a negative word

Clever can have positive or negative overtones, but, more often than not, it's regarded as a positive term. (One exception is in the realm of writing software, where cleverness is not considered a virtue.)

That said, I don't think I have ever seen the word used in association with weight loss, and I wouldn't recommend it in your sentence. If you're trying to emphasize the practicality of home workouts, I think smart would be much better:

Lose weight smartly in the privacy and comfort of your home!

And I think it could be improved even more if you didn't use an adverb:

Be smart and lose weight in the privacy and comfort of your home!

It's hard for me to explain why smart or sensible would be better than clever. The dictionary definition seems to fit just fine, but cleverness implies a certain level of genious that makes it seem like a bad fit for weight loss, unless maybe the rest of your paragraph delves into creative ways to exercise by turning parts of an ordinary home (such as stairs, doors, and furniture) into a home gym. To be smart is to be pragmatic, to be clever is to be surprisingly ingenious, and think of something that other people aren't likely to think of. In the case of losing weight at home, that sounds like an exaggeration.

It really depends on the context, and because of that, I think you would be best to say neutral. For example, here are three cases:

Positive: My friend brought an expensive wine to the party for us to try.

Neutral: The electric dryer was more expensive than the gas.

Negative: I was shocked by how expensive hotel rooms were because of the convention.

I would say that in general most English speakers would say something being "expensive" is a bad thing, but actual usage is rarely that simple. Ultimately, the connotation depends on who is paying the "expensive" price.