It's safe to delete any version of MS.NET that is installed.
NET Framework is not required on every system. In fact, it is needed only on systems which run a program which calls for/utilizes some version of NET, based on the way that the program was developed.
In the history of using XP, I have only encountered two such programs myself...and, in each instance, the particular MS.NET version required is spelled out as a prerequisite for installing the program.
I currently have two desktops. System A has NET Framework 3.5, SP1 installed...because I have nLite installed on that system and it requires Version 2.0 (Version 3.5 works in lieu of 2.0 for me), while System B has no version of MS.NET installed and works fine without it.
If you want to remove all versions, then install only one or none...I suggest using the NET Framework Cleanup Tool
If NET is not installed on the system...there are no security updates to be installed for it. Just as there are security updates for the main body of XP, there are also critical security updates for key components (such as IE, WMP, NET Framework, etc.).