The short answer is "yes, there probably is a difference".
The long answer :
It depends on what version of sed you are using on each machine, not what operating system the machine is running.
In my experience I've found that the toolkit (i.e. sed, grep, awk, etc) installed on the likes of HP-UX is often inferior to the versions found on most popular Linux distributions.
My guess is that on HP-UX you are using a version of sed built by HP and you are using GNU sed on Linux. You'll either need to read up on what the HP version can or cannot do and find the common ground with your version on Linux, or see if you can get the GNU version installed somewhere on your HP machine.
As for the specific regexp you give, well as with any regexp problem it would help if you also gave some example text to match against and stated what you are expecting the regexp to accomplish.