SAGE and Pex both use some of the same techniques (like DART), but SAGE is for security testing of unmanaged code (x86 binary analysis) while Pex is for unit testing of managed code (MSIL .NET binaries).

For more information on how they differ, please see http://research.microsoft.com/en-us/um/people/pg/public_psfiles/ieeesw2008.pdf

Patrice