Stacked intelligent metasurfaces (SIMs), composed of multiple layers of reconfigurable transmissive metasurfaces, are gaining prominence as a transformative technology for future wireless communication security. This paper investigates the integration of SIM into multi-user multiple-input multiple-output (MIMO) systems to enhance physical layer security. A novel system architecture is proposed, wherein each base station (BS) antenna transmits a dedicated single-user stream, while a multi-layer SIM executes wave-based beamforming in the electromagnetic domain, thereby avoiding the need for complex baseband digital precoding and significantly reducing hardware overhead. To maximize the weighted sum secrecy rate (WSSR), we formulate a joint precoding optimization problem over BS power allocation and SIM phase shifts, which is high-dimensional and non-convex due to the complexity of the objective function and the coupling among optimization variables. To address this, we propose a manifold-enhanced heterogeneous multi-agent continual learning (MHACL) framework that incorporates gradient representation and dual-scale policy optimization to achieve robust performance in dynamic environments with high demands for secure communication. Furthermore, we develop SIM-MHACL (SIMHACL), a low-complexity learning template that embeds phase coordination into a product manifold structure, reducing the exponential search space to linear complexity while maintaining physical feasibility. Simulation results validate that the proposed framework achieves millisecond-level per-iteratio ntraining in SIM-assisted systems, significantly outperforming various baseline schemes, with SIMHACL achieving comparable WSSR to MHACL while reducing computation time by 30\%.