I never heard of such a need ... even if you change steppings ...
As far as I know software detects MMX, SSE, etc., on startup and either uses it or not ... changing CPU's shouldn't require any software change at all. If new features are there they'll be used. I never heard of any software hard coding or installing itself in accordance with a specific CPU.
The ONLY concievable problem I could imagine is if you have an Athlon XP and use software like Tmpeg and have "SSE" checked, then downgrade to a Thunderbird without SSE and try to run Tmpeg without unchecking "use SSE." Then it might try to run an illegal instruction ... But stuff like that is few, far between, and at the application and not OS level.