It is not listed in any of the steps, which makes sense as it's not officially part of Stack Exchange, just an external site which is just hosted on SE domain.
Unlike SE sites, http://data.stackexchange.com is not redirecting to https://data.stackexchange.com, however since the SSL is for *.stackexchange.com data.stackexchange.com is also included and technically part of the SSL.
This means the secure version of SEDE works just fine, however it's not official. Yet.
So, my questions are:
Is SEDE officially secured with the same SSL as the rest of Stack Exchange?
Should we change links pointing to the non secure URL to the secure URL instead?