The SGC in the early days before the Prometheus, they tried to avoid cutting off worlds from the gate network. Removing a DHD could potentially trap someone who arrived on the world and with no way to effectively survey a world beyond 10 to 15 miles from the gate it wasn't worth the risk.
As far as gates go, until Prometheus they didn't have a reliable means of interstellar travel that they didn't have to negotiate for. And I would assume that the Jaffa Rebels and the Tok'ra would both not approve of loaning the SGC a ship to break a part of the gate network. Everyone seems to be a bit pissed when Anubis does it.
By the time they could gather DHD's they had sufficient knowledge of the gate control systems that they no longer needed one, and their own "MacGyvered" had more precise controls and was resistant to DHD system failures like Baal's DHD virus. And by the time they built the McKay-Carter Intergalactic Bridge they had such mastery of the gates no longer needed DHDs.