I am using SQL Express with SP3. I upgraded SQL Express prior to upgrading to EPO patch 4.
A SQL patch (generally) should not mess up the application since most SQL patches just fix security issues and don't usually modify functionality.
With that said, it always makes sense to test everything in a lab environment before unleashing it into production environments. Personally I am not afraid of rebuilding my EPO server because it only supports a couple hundred client systems.
My SP3 upgrade went without any hiccups and Patch 4 installation was very smooth.
My two cents on the matter, but your experience may vary!
Just curious, why upgrade? Do you have that many client that you need to perform an upgrade?