there is no need to have a higher hotfix/jumbo version on the Security Management server and there is no such dependency.
2 things to take into consideration:
First, as @PhoneBoy said, compatibility between the Security Gateway and Security Management - in such cases we indeed mention that in the relevant JHF sk per relevant fix.
This also applies to SmartConsole<--> Security Management fixes compatibility.
in a cluster environment, the compatibility between the fixes/jumbo version should be the same
Hope this helps.