>If you build an executable with VFP 9 SP2 (without using any specific new features of SP2) and try to run this .EXE on the PC where VFP 9 SP1 runtime is installed, will it bomb?

It would probably work - but it would be a risky thing to do. You might get strange things happening and it would be hard to figure out that this was the cause.
One option you have is to simply put the SP2 runtimes in the same folder as your compiled .exe on the user's workstations. If I'm not mistaken, doing so would cause the app to use those runtimes instead of the other ones installed on the machine.