Hello JBS,
You don't have to buy SQL license separately from Cisco.When you order UCCX with HA ,Cisco ships the modified version of SQL compatible with HA model. If you use normal windows SQL then HA will not wok and you will get an error " installed SQL is not a Cisco Authorized one" I don't remember the exact error though.
Also while installing SQL ,in the License section you have to choose based number of possessor in the UCCX server.
Hope this helps...
Regards,
Hasan Jafri