I opened a case with Symantec. I will re-phrase what they were explaining to me:
Even though Symantec has load balancing, and calls it load balancing, it is not load balancing, but instead, it is failover.
We have 6 SEPM and if there are 36 computers, they will all try to check into the first SEPM listed in the Management Server List (even if all 6 SEPMs are SAME PRIORITY).
So, if all 36 computers check into SEPM_1 on Monday, when they try to check into the SEPM servers again, they will first check into the SEPM they connected to on Monday, i.e. SEPM_1 (this value is stored on the computer checking in). If for some reason a computer is unable to check into the first SEPM, they will try to connect to SEPM_2, and if they cannot connect to SEPM_2, they will try SEPM_3, and so forth.
On Tuesday, if we have 34 computer checking into SEPM_1, and 2 computers checking into SEPM_2, then on Wednesday, those 34 computers will first try to connect to SEPM_1, and those 2 computer will first try to connect to SEPM_2. This is all based on a value that is stored on the computer, not the SEPM.
Our environment is such that, we cannot touch the computers checking into our SEPM, hence we need servers-side solution. So far, the Symantec Engineer has recommended a third party solution, either DNS round robin or Network Load Balancing device.
@ Ariv: There is a saying, "if it ain't broke, don't fix it". I would keep using the physical load balancer (Round Robin).