One component of the Support Tools is a set of Diagnostics. These Diagnostics can be dangerous. For example, a disk exercizer will scribble on a disk. The Diagnostics are protected by a very powerful password system. HP will claim that this is to protect customers, but the real reason was to pull the rug out from under third party maintenance companies. Adding passwords to the Diagnostics was a controversial move and many customers complained since the Support Tools were "part of HP-UX". HP responded by moving the Support Tools off of the OS Install medium and on to a Support medium. (medium = cd, tape, etc) HP noticed that a lot of customers were not installing the Support Tools. This undermines system reliability, so HP moved them back.
I forget when these moves happened. Before I install, I read the Installation and Upgrade Guide (well just the installation section) and the README Before Installing HP-UX. I always seem to wind up with Support Tools installed, so I'm pretty sure the directions cover it. The last HP-UX system I installed was 11i Version 2 and I remember for sure that STM was on the Install DVD. Bear in mind that I could have opted to not install it. But I always install the whole OS.
You can download
Diagnostic and Support Tools for the HP 9000, Integrity Servers, and Intel Itanium 2 Workstations