Sorry this bug I tested with 2.1.11 and 2.1.15. I don't know whether it's proper to say in one bug.
I find dirmngr won't use the server in SRV record.
I tested with domain t1.zhsj.me and t2.zhsj.me
$ dig _hkp._tcp.t1.zhsj.me SRV +short
1 10 11372 sks.ustclug.org.
1 1 11371 sks.ustclug.org.
$ dig _hkp._tcp.t2.zhsj.me SRV +short
1 1 11371 sks.ustclug.org.
For version 2.1.15(build from source):
I tested with gnupg2 and wireshark to catch the DNS query.
I find gnupg2 never query _hkp._tcp SRV record.
For version 2.1.11(the version on Debian testing)
It queries SRV records for both t1.zhsj.me and t2.zhsj.me
But only t1.zhsj.me(which has two SRV record) can actually contact the sks server.
$ gpg2 --keyserver hkp://t1.zhsj.me --recv-keys 7DFBB2F2
gpg: key 7DFBB2F2: "Shengjing Zhu <i@zhsj.me>" not changed
gpg: Total number processed: 1
gpg: unchanged: 1
$ gpg2 --keyserver hkp://t2.zhsj.me --recv-keys 7DFBB2F2
gpg: keyserver receive failed: No keyserver available