Endpoint Protection

Just a simple question, do I need to install the SEP Client on the server that runs the SEP manager?

 Yes..It is very important.

SEPM does not protect your Server its the SEP client that will protect from virus and malware.
SEP Manager is only used to distribute definition and manage SEP client.

So SEP client has to be install on SEP Manager server to protect it from virus and other threats.