You are catching on. SD is a tool that, like any other, can be abused and misused. Bullet construction is often a better indicator of penetration potential, but penetration isn�t necessarily the best indicator of how effective a bullet will be, either.
I�ve put 55g FMJ�s clear through a coyote with very unsatisfactory results. But a 40g Nosler BT (with lower SD) yields devastating results, even though there is often no exit wound. Barnes X bullets are known for their penetration, but my one experience with them was disappointing when compared to other bullets I�ve used. (That said, I�ve loaded up hunting rounds using the 115g TSX for my .257 Roberts., just haven�t tried them on game yet.)
You also have to consider the shot angle. Like many hunters, I prefer an exit wound. But I also like the bullet to expend most of its energy inside the animal rather than on the terrain behind it. In other words, I feel there is such a thing as excessive penetration. Since I refuse to take a �Texas heart shot�, I don�t need five or six feet of penetration. Given a head-on shot, I would like the bullet to do most of its work I the heart-lung cavity rather than in the stomach and intestines.
So, a partial list of factors to consider are bullet construction, weight, caliber, impact velocity, Then we need to add in the type of game; shot placement and angle; and whether or not the animal is at rest, fully adrenalized, or somewhere in-between. Then we can begin to predict how a bullet will perform.
Fortunately, generally speaking and with other factors the same, relatively heavy bullets of larger diameter generally provide more reliable results � which simplifies the selection process somewhat. For example, I�ll prefer any .338 cartridge over any .25 for use on elk. Will a .25 do it? Yes, but when heavy bones are encountered, the .338 has a definite advantage.
There�s an old adage about �use enough gun�. If a person is worrying about SD, chances are the gun he is using is marginal.