Based on this comment from bernhard, it seems that it’s supposed to be using a default keyserver when the configuration is undefined. That doesn’t seem to be happening.
this behaviour has changed with GnuPG 2.5.3: there is no longer a default keyserver configured. this can be overlooked easily, given the long list of changes for the Gpg4Win 5.0.0 release, but it is listed in section “Incompatible Changes”.