Hi sblanchard!
Thanks for reaching Microsoft Community. We're here to help and let's work on this together.
With your query, yes, the Surface Pro X with Microsoft SQ2 @ 3.15 GHz supports SSE 4.2. You can find this information on the official Microsoft website under the specifications section for the Surface Pro X. Additionally, you can check the processor specifications on the manufacturer's website or by running a system information tool on your device.
Thanks again for choosing Microsoft. Hope this helps!
Regards,
RodelioP.