To elaborate on amagi's correct answers:
The patch files for the LDMS Console and core server can be found at http://community.landesk.com/support/docs/DOC-30788. I went through the same process of upgrading from 9.5 (no SP) to 9.5 SP2, and it worked flawlessly.
Getting the console upgraded was also easy; just apply the patch file to any 9.5 console and watch it work.
I am still in the process of updating all the agents in the system. I haven't had any issues yet with using the 9.5 SP2 core server and 9.5 SP2 console to connect back to an agent that hasn't updated.