Hi and welcome! With the crossgrade you get a regular and in no way stripped down Cubase Pro 9.5 license. But it is just the Cubase Pro 9.5 including the SE versions of HALion and Groove Agent.
The Steinberg Download Assistant includes more products that require additional licenses indeed - like HALion Sonic (without the “SE”) and HALion. If you downloaded these and get a license error, you can either request a trial activation code for them or uninstall them again. Trials are available here: Products — Music Software & Audio Hardware | Steinberg