Yes SEP works on DC , Exchange servers, There are no issues with that. Above all it creates automatic exclusions so that we don't have to create excluiosn for DC and Exchange
SEP client creates automatic exclusion for :
1. Exchange server
2. Active Directory domain controller database
3. Database
This is by design.
Automatic exclusion of Active Directory files and folders
The client monitors the applications that are installed on the client computer. If the software detects Active Directory on the client computer, the software automatically creates the exclusions.
The client software creates file and folder exclusions for the Active Directory domain controller database, logs, and working files.