The penalty for non-activation on XP WGA is that you're locked out from your desktop. Any attempt to login will redirect you to the activation wizard, which you either have to do online or on the phone. The exact number of days varies whether or not you have a legal serial number.
I'm not sure what you mean about activation with regard to SP2. WGA (the activation component for XP) comes on all versions of XP (besides Corporate), not only XP-original or XP-SP1. If you want you could always apply a patch that gets rid of WGA, and you'll never have to worry about activating XP.