Yeah, SP is essentially disabled in Nightmare mode, you have to make with what little is in chests.
There is supposed to be a feature in the game where once you have beat the game with all three characters, each new game you start should allow you the option to start with 10,000 SP for each clear game flag (per character and difficulty) you have. It's either broken on XSEED's version, or I have misunderstood how it works.
Ah, okay, I was wondering what was up with that. It asked me if I wanted my bonus SP, I chose Yes, and when I started my new game it gave me jack all.
Tom, we need this fixed!