Upon first opening Ad-Aware Se it shows window:

Your definitions are 6 days old. Would you like to check for updates now?

When I click OK

and then Update

It comes up with window stating No updated components available

This has been happening for a few days.

Is there a problem with Updating Ad-Aware SE?

That's because there wasn't any new updates to download as the message told you. Today, however, we have a new reference file update
See here:
http://www.lavasoftsupport.com/index.php?showtopic=9293