They do not. And more problematically for the "It's all Intel's fault" story, in the SGX documentation they explicitly state that their chips do not protect against side channel attacks and that it's up to the software developer to handle it. As SGX is a part of the CPU effectively that means their official chip docs rule out side channel protection as a feature.

I don't know if playing the blame game here is going to be productive. All CPUs are vulnerable to side channel attacks of various kinds and focusing on Meltdown specifically seems like missing the forest for the trees - especially as ARM has the same issue in some of their designs.