Because the idea that someone would go to play hockey where their family lives is massively unprecedented in the last couple years. Its not like 2 Wings free agents didn't return with family being at least part of the reason. And its really not like the KHL would pay him a lot more than he would make in the NHL for doing it either. /sarcasm
For every NHL player who does it, there are droves who don't, so don't act as if it's the rule rather than the exception, and, accordingly, don't act like it's any rock-solid evidence in support of your claim.
Last offseason Stuart and Lidstrom both departed the Wings, naming family as at least part of the reason for their departures. Say what you will, but Lidstrom wasn't like Yzerman, playing until he could no longer play, he could have played more seasons, even if he may have started declining, at a high level. Pavel's daughter is in Russia right now, she is young, and as it has been pointed out, he lost his parents young. Most people in this situation would want to be near their child. Add to this the fact the KHL will pay him a salary the Wings (or any other team for that matter) could never match, and you have a lot of people taking the short, and logical leap that Datsyuk's days in Detroit maybe shorter than we want them to be.
As for Iginla, too old, too expensive, and too disinterested in Detroit. Not gunna happen.
Stuart did it, yes. Lidstrom's main reason for retirement, as stipulated by the man himself, was that he wanted to walk away from the game on his own terms rather than watch it slowly walk away from him. And Datsyuk doesn't need to worry about money anymore.
But hey, have it your way; worry as much as you want.