Why would that be? Most players haven't had the Oilers on their list for a few years now. You get the odd american who doesn't want to leave Trump-land, but that certainly isn't the case usually for Scandinavian players.
I bet we'd be surprised how many players who have no trade lists with ALL the Canadian teams on them. It's a combination of things...
-having to cross the border way more often than American teams do, dealing with customs, and way more travel, especially for the 4 west Canadian teams.
-for the most part, the worst weather, compared to the American teams.
-more media, more attention, more criticism, more crazy fans.
-even things as small, but kind of annoying having to have 2 types of currency with you, more often than American teams.
that being said, there are plenty of reasons to want to play in Canada, the fans, the love of the game, the passion, it's a beautiful country, less crime, less people, less traffic (other than Toronto for sure). I think there is a large group of guys that just think it would be a bit more of hassle to play in Canada.