Why not? Because GPG doesn't support Socks proxies, so the user has to run a separate HTTP proxy. Because it requires mucking around with gpg.conf, and most people are barely able to use a simplified GUI. And because most people are not competent enough to use key servers safely. They will almost certainly screw up and fetch keys over clearnet, so all LE has to do is ask the server admins for the logs of all IPs that fetched keys X, Y and Z of known big time drug vendors, and they are toast. Plus, GPG has DNS leaks which one of the Tor devs is trying to patch, but it's unsafe to use for now, even over Tor. Here's the work being done on socks support and DNS leaks: https://trac.torproject.org/projects/tor/ticket/2846