I have used SP2 RC1, RC2 and the official release (IT Professional downloadable) on my workstation along with BlackBerry Desktop Manager 3.6.2.9 without a hitch.
Personally, I would not think of setting up BES on a WinXP machine, so that was never tested.
As for the Desktop Redirector, although I do not use it in the corporate environment, but the Redirector Settings applet have been used repeatedly and intensively without any problems reported.