SEPM requires MS SQL Server for failover and load balancing.
Installing a second site for failover and load balancing fails when using the embedded database.
This is expected. The embedded database does not support the failover and load balancing feature. This is mentioned in the Installation_Guide.pdf file under the section of "Installing and configuring Symantec Endpoint Protection Manager for failover or load balancing".
Use a Microsoft SQL Server database to enable the failover and load balancing feature. If you plan to set up additional management servers for replication you must use a SQL Server database for the management server.
Note: When adding a SEPM for failover and load balancing, it must be installed using the same version installed on the first server. Installing a different version may appear to work, but the SEPM service will fail to start on the new SEPM.