Kinda weird. Why not the SEL or, well, any other league? Are their rosters frozen now or something?
One of the reasons is like Rhombo pointed out in his post: " If you want the right to recall a North American player of his caliber midseason, you aren't going to be able to get him a job in one of the better European leagues. Those clubs are businesses and don't want to bother with major roster turnover midseason and import caps."
Another reason might be that the Wings want him to be playing top 6 minutes and that won't be a guarantee in the SEL. He played a limited amount of games last season so he'd probably get 3rd/4th line minutes starting out in the SEL (or any other high end pro league in Europe).
With him being loaned to Graz it checks two important boxes:
1. Being able to recall him midseason.
2. Will play a top 6 roll and get minutes.
While it's not the most ideal situation, it's a solution that makes the most sense at this point imo.