I chose to reformat the hard drive on my DAW recently, so in the process I elected to install SP2. Obviously there are some advantages to this, as Windows and SP2 were installed before any other software was installed.
I did turn off DEP for Sonar as recommended on the Sonar forum, and have had no problems w/SP2 or Sonar whatsoever. In fact, the system seems run a bit more stable (but this could quite possibly be due to other changes I made when I did the format and reinstall).
BTW, the nag screen can be turned off. It defaults to on, but you can set it to disable the reminders.