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Sweave is a NoWeb style method of using LaTeX in reproducible computational research. Should I ask questions that I have about Sweave here or at SE? Why or which ones?

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I don't know anything about Sweave so can't really comment on this case itself, but I recommend that you read some of the discussions we've had on other "not quite TeX" topics. For example: Is troff/groff a "friend" of TeX and Is this question about TeX software appropriate

In general, we're happy to have questions related to stuff near TeX, but there's also the question as to where you are most likely to get an answer to your question. If it really is about the TeX side of things, then probably here. If it's more about the statistical stuff, then maybe on the stats site. Not knowing anything about the program, I can't be more specific than that.

The other thing to do is just to try asking a question, explain that you're not sure if this is the right place, and link to this discussion for feedback on that issue.

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