Basically there are three components in SEP
1: AV/AS - basic component needed
2: PTP - It is not desgined to work on server OS.It will install fine on a server OS, but always stay off.Hence its better not to install it at first place.
3: NTP - It is the firewall feature of SEP.You can install it on server OS without any issues.But we would recomment you to first test it and then install on a production server.