Yes, I tried. It doesn't work. Of course this isn't on the compatibility matrix, but we knew that already. Put SQL 2003 SP2 on a machine, put it in a domain, and loaded SQL express 2005. I then started the UCCE 8.0(1) installer and it looked like it installed install ok, but I couldn't run ICMDBA. I got a error about sql agent not started. SQL agent wasn't an option anywhere in the SQL express installation. Along with the issue of not being able to set the collation during the SQL express installation, I believe this is a futile effort.
