There's something special about "fuck." It draws four-figure fines if you say it in the wrong place; it increases pain tolerance; it can even provoke human reaction from a crowd dead-eyed and paralyzed by Nickelback. (I will never get tired of that clip.) It's nothing inherent in the noise itself, of course. "Fuck" has power because we give it power. English-speaking society has agreed that this word means something important, and that's the only reason it does.
The particular group of 30 independently-owned teams that currently comprises the NHL doesn't make the league special any more than the particular group of phonemes that comprises the word "fuck" makes it special. Talent is part of it, but that isn't the cause of the NHL's appeal; it's an effect, as the league's reputation draws the best players. The actual root of the appeal is in the shared experience of the people who have agreed, as a society, that the NHL is the pro hockey organization that matters. Team allegiances shift, individual players come and go, but we stick with the league as a whole--through thick, thin, and lockouts aplenty--because it's the one we all know. Being a sports fan is a very social activity; we need that shared experience.
I was going to watch some KHL games during the lockout. I looked up the schedules for the days when Dynamo Moscow went up against Metallurg Magnitogorsk, so I could see Malkin face off against Ovi. I never got around to it. I did attend a WHL game with some friends--and we spent it talking about Shea Theodore's future and explaining the NHL draft to the hockey-oblivious British friend I dragged along. We have plans to go to another WHL game soon, to see Seth Jones play; I'll probably spend a good amount of that evening checking score updates on my phone for the Canucks/Blackhawks game I'll be missing. I watched World Juniors religiously, and I like to think I would have done so for the quality hockey even if the players weren't NHL-bound, but I can't honestly be sure.
It's not that non-NHL hockey can't be perfectly worthwhile. It's not as good in technical terms, usually, but that's not the reason we stick with the NHL. It's that this league--its teams, its players, its narratives--is the one we all know. I love the game of hockey, and I will happily watch it for its own sake, but sitting curled up on my couch at six in the morning watching a KHL game by myself isn't nearly as satisfying as sitting curled up on my couch at six in the morning watching World Juniors and using the commercial breaks to chat on IM and Twitter with friends watching the same game. And no KHL game, no matter how beautiful the plays, can beat out the experience of watching NHL games with people who know and care about the teams involved, who trade commiserating glares at the mention of Bettman's name and grins at the mention of Luongo's.
In the attention economy of a social hobby like sports fandom, the league that people pay attention to is the best one by dint of attention paid. No one cares about non-NHL leagues because no one else does. It's a frustrating catch-22 for some, perhaps, but on a large scale it makes sense.