Regarding downloading/purchasing SGX software-- No, in compatible machines it ships with the device.
Regarding your particular device, unfortunately the hardware options are many, with many variations. I think reaching out to whoever the hardware manufacturer is is one good option, and possibly Intel after that. I found this video from Intel, https://www.youtube.com/watch?v=bca5NcjoEdc and this FAQ:: https://software.intel.com/en-us/sgx-sdk/faq?spredfast-trk-id=sf204114035
OEMs can choose whether to provide BIOS support or not. If BIOS support is provided, it can be shipped turned on or turned off. OEMs can choose to not provide Intel SGX BIOS support. This will render Intel SGX capabilities inert (this means it cannot be turned on without potentially violating the product warranty).
An OEM is “original equipment manufacturer”.
I hope this helps.