I'm having the exact same problem -- the upgrade wizard doesn't run after the SEPM installer finishes, and thus my SEPM is broken. I had this problem with RU5 as well, and Symantec phone support was unable to help me (other than telling me to rebuild the server and run sylinkreplacer on all my clients -- not an acceptable solution; I had to restore the server from backup). I followed the upgrade process exactly as instructed here:
http://service1.symantec.com/support/ent-security.nsf/854fa02b4f5013678825731a007d06af/6f5427dfdd4a0cc18825770400611b5a?OpenDocument
Like others have said, trying to run the upgrade.bat file does nothing, Also tried rebooting the server right after the install and running it again; I get the little window like ctrlq posted, but SEPM still fails to work.
I've had to resort to importing the newer client packages into my older MR4 MP2 SEPM, but it sure would be nice to not be stuck two revisions behind on the management console.
Anyone have any other tricks or suggestions?