Why are you comparing KHL to NHL? Why would they charge the same amount of money in the KHL? Where did you get that conclusion from? KHL is not competing with NHL - the overall popularity of the sport in Europe is lower than in North America, so the ceiling for team budgets and the quality of play is lower as well (IF the league would operate in a healthy free market environment).
And what you're saying about Europe is incorrect. The price is linked to demand, not just to how developed the countries are. Furthermore, Northern Europe, Germany is just as developed as USA/Canada, while Central Europe, Moscow, St. Petersburg aren't exactly third world countries.
The real problem is the fact that Russia is a post-communist country and contrary to Czech Republic, Latvia, etc., they're not used to a market-based approach. They're mimicking a market-based approach, but at the end of the day the KHL is financed almost exclusively by governmental funds. They could run the league without any spectators.
The games are broadcast by governmental/regional TV channels and in Russia they have the absolute monopoly. There's no real competition. Media is state-controlled. A 'TV deal' in Russia is not a real word. There are no TV deals.
It's the same thing with ticket prices. The Russian public expects the tickets to be ridiculously cheap, they don't really consider hockey a product. They feel entitled to watch it and they're not willing to pay. Just like during the Soviet times.
This is slowly changing and the wealthier cities are leading the way, but they're still light years away from reaching an actual market-based approach. And it's not because it wouldn't be possible, it's because the Russians don't like it. They don't want a self-sufficient hockey league, they want a *great* hockey league and they want it now.