Found the cause. DirectX 11 does not support the use of 16-bit formats Bgr565, Bgra5551 or Bgra4444 for render targets. DirectX 11.1 (or more correctly, DXGI 1.2) does support 16-bit formats for render targets.
https://msdn.microsoft.com/en-us/library/windows/desktop/ff471325(v=vs.85).aspx
I have submitted a PR (#5340) that implements the fallback to SurfaceFormat.Color for render targets if the preferredFormat is not supported, and similar for the preferredDepthFormat. This is what XNA did anyway if the requested format wasn’t supported, so we’re not losing functionality here.