Ok, thanks to a coworker, we were able to get this working. On CentOS 4, the linux patch is completely busted.
To get it to install,
tar xzvf se_110002_linux_patch.tar.gz
cd linux-11.0.2
sudo ./update -y /usr/local/slickedit/bin/vs
Now, it'll start going, and you'll see files being written out. Quickly hit Ctrl-S to suspend the install.
From another window, mkdir -p the offending missing dir:
cd /usr/local/slickedit/udbackup.00/sysconfig/http/www.slickedit.com/dtd/vse/
mkdir -p upcheck/1.0
Note: If you have run it unsuccessfully before, you'll need to change "udbackup.00" to the appropriate number, as it increases each time.Hit Ctrl-Q to resume the session, which will finish installing the patch.