I too have this same question. Everything I read regarding Xeon Scalable series, prior to the July announcement, indicated support for SGX. However everything on ark.intel.com says nothing on it for scalable. For earlier processors and for newer E2/E3 and later Core i series it at least says yes or no. But nothing regarding SGX is mentioned at all online which I have found regarding scalable. It is now three months since the original question, and four months since the announcement. Could we please have an answer.
I thought I'd update what I'd found else where. It would be good to hear from the Intel folks. I saw a You Tube recorded video from AmazonsAWS re:invent 2017: C5 Instances and the Evolution of Amazon EC2 Virtualization
In it the project leader for the C5 instance is asked does it support the SGX instruction set, He replies
SGX is not supported in any Skylake Server CPU and hence is not supported on the C5 instance. Amazon is working with Intel on this.
Still would like confirmation from Intel folks. Even if you just updated the Xeon Scalable entries on ark,intel.com to have SGX box with a no would be fine.