The Socket A Semprons are just Athlon XP T-bred/Bartons, which only have SSE. No Socket A CPU has SSE2, and that won't change, given the fact that Socket A is pretty much dead; there won't be any new core CPUs for it.
Socket 754 Semprons support it, being based on the Athlon 64 (all revisions). Half the L2 Cache (256KB as opposed to 512KB), no 64-bit register extensions, and you've got a S754 Sempron.. despite these changes, they're actually quite good performers.