HDCP is simply a 2-way yes/no signal that prevents copyrighted content from being played or recorded illegally. A very basic explanation is that the source device (computer or DVD player, for instance) will constantly send out a signal asking if the destination/display (TV or switcher, for instance) can show HDCP protected content or not, and the destination/display device will constantly answer with a yes or no, depending on if the product is approved to play/pass copyrighted content or not.
SDI is a professional standard and is also only one way, so there is no way for the standard HDCP signal to work on SDI infrastructure. Therefore, 99.9% of SDI products simply do not respond to HDCP signals or they answer with a no, making it impossible to play HDCP protected content over any SDI infrastructure.
However, there are a few SDI products out there that work with HDCP and will allow HDCP protected content to pass through if that is something you really need. They're not super cheap, and they require you signing a waiver with the manufacturer which says you understand the legalities and that you won't use their product to do illegal stuff. I have a converter recommendation that allows HDCP content to pass through in this list.
If you have the need to play copyrighted content often (basically more than twice a year, on average), then this is probably something you need to consider. But if you rarely ever deal with playing full movies or other copyrighted materials through your system, then it's probably not something that needs to be considered much.