While I'm sure that the documentation could be improved, I don't agree that it's a "bug" that it doesn't specifiy that it doesn't do what you assumed; it says what it does do.
The existing (built-in help) text says:
For use on nodes where the tool is already installed and no further action is required. Performs no installation actions; simply reports the location of the (existing) tool to the build process.
The example in the README.md file in github (https://github.com/jenkinsci/extra-tool-installers-plugin/blob/master/README.md) just says it'll
put ${PATH_TO_THE_TOOL} on the $PATH and $LD_LIBRARY_PATH before they continue on with the build.
i.e. There's nothing in either suggesting it will (or should) fail if the location does not exist.
If you want to get involved, and either provide improvements to the documentation or functionality, I'd welcome a PR. If not, you'll have to workaround the existing behaviour and figure out another way of achieving your goals (labels, for example - put a "tool-foo-installed" label on everything that has it and include that in the label expression).
This is all free open-source software that's the sum of the donated contributions so when it comes to enhancements "you get what you pay for" - the only reason my name is on this plugin is because "I touched it last" (I wanted it to do something it didn't, so I made a PR that enhanced it), so you're now in the situation that I was in... 
You misunderstand; "Use tool from the specified directory" does not fail if the directory doesn't exist. It simply tells Jenkins that the tool is there - it's up to the user (that's you!) to ensure that the tool is there.
So, what's happening here is that the "Try any of ..." installer is trying the first one (the "Use tool from the specified directory"), it succeeds and hence the "Try any of ..." installer thinks that it's complete, and stops.
Now... if you want it to work the way you expect, you'll have to enhance that installation method to provide an option to "fail if the folder does not exist", but it doesn't do that (at present) and isn't intended to do that (at present).