Pretty much, different strokes and all that. It's one thing to have concerns as to whether a player will stay with a Canadian team, another when a UFA doesn't want to play for Canadian teams.
Some folks want the spotlight, some want the spotlight but also the relative anonymity you'd get in somewhere like New York, others just want to be able to disappear and live their lives when they're not playing games. Some folks are just more private, don't want to be bothered, or don't want the distractions that come with playing in a hockey hub, it is what it is.
Could be all sorts of reasons, doesn't have to be x is bad because no Canada.