First, it is important to know if you were using the "legacy" SDRAM controller or the new one. The class-names are altera_avalon_sdram_controller and altera_avalon_new_sdram_controller, respectively. Opening your system PTF in a text-editor is the most definitive way to check this; you may be able to tell by the GUI but I'm not sure offhand.
Then knowing whether or not you are using a Nios-classic or Nios II will be needed next. The Nios-classic ships with both SDRAM controllers, but Nios II only ships with the new one. If you have recently switched from Nios-classic to Nios II and have a design with the legacy controller, but have removed your Nios-classic kit, then you will find that the component will show up as "NOT INSTALLED". If you didn't remove the Nios-classic, then it's possible that it got lost from the SOPC Builder component path (check $SOPC_BUILDER_PATH on your system).
You can find out what SDRAM controllers are on your system by searching for the files em_new_sdram_controller.pl (for the new one) and em_sdram_controller.pl (the legacy one). You can also check the "install.ptf" file in a subdirectory called ".sopc_builder" under your home directory.
Please let us know what you find along these lines, and fill-in any other relevant details. I'm sure we can resolve this for you.
As for the original suspicions: the SDRAM controller is shipped with Nios, and not with Quartus/SOPC Builder, and the Quartus 4.1 SP2 installer will not delete your SDRAM controller.