We don't use the CAM module of UG, but we do use both UG and SE.
You can open a SE file in UG and a UG file in SE. All you get for each is a dumb solid, but you can choose to maintain the relationship. In other words, when the SE file is changed, the linked dumb solid in UG is updated with the changes and vice versa. Any features you add in either CAD package are only recognized in that CAD package, so you have to you have to work in the correct environment to make changes to the final configuration of the part.
The help file in SE has a lot of information on how to share the data between the two apps. Since you don't have SE or UG yet, I would ask your reseller for that information.
If I may ask, if you are looking into CATIA, why are you trying for a SE/UG mi?. Why not just UG?
--Scott