You can either install all SMP licenses on one cluster peer or spread them out across any of the peers in any quantity you want. If a node within the cluster is removed or goes down for any reason, the SMP licenses installed on it will be available on the remaining peers for up to 30 days so that you can have time to bring that peer back online. This is noted in the "Multiparty License Status" section of the Conductor Admin Guide on pg 122.
Personally, I ended up spreading my SMP licenses across the entire cluster, that way there is no single point of failure with all the licenses on the master peer. Although a failure is low when speaking in terms of the VM, but it's a worse case scenario.