Just to clarify, this is not an issue in the sense that something is malfunctioning. This is currently working as designed at this time. Content delivery from the SEPM isn't possible, primarily because of the differences between the LiveUpdate the Windows product uses and Java LiveUpdate (which the Mac uses).
(Mithun has copy-and-pasted a bit from the FAQ. Mithun, it is best practice to indicate when you're doing so. I wrote most of that article, and I wrote the words you pasted above.)
sandra