There are a few reasons to have your prospects on your AHL team rather than under contract to a KHL team.
1- they are a short distance away, and can be called up multiple times during a season, gradually getting them used to the NHL environment. This cannot happen if they are playing on a KHL team.
2- they are part of the organization, and exposed to training methods and type of play in the AHL that will also be used on the parent NHL team, ideally.
3- The Russian player learns to speak English, and operate in a US environment. Most Swedes, Finns, and other Euros speak vg English, so this is less of an issue for them.
I don't know how important any of these actually are. Just trying to look at some big name Russian players today
Kucherov - actually played half a season in the Q, don't know how impactful that was
Panarin - developed in the KHL until he was signed to an NHL contract
Marchenko - 4 post draft seasons in Russia, 16 total games in the AHL
Michkov - 1 post draft season in Russia, 0 AHL games
Kaprizov - 5 post draft seasons in Russia, 0 AHL games
Buchnevich - 3 post draft seasons in Russia, 4 AHL games
Malkin - 2 post draft seasons in Russia, 0 AHL games
Voronkov - 4 post draft seasons in Russia, 4 AHL games
Nichushkin - came to NHL immediately after draft for 3 seasons, went back to Russia for 2 seasons, back to NHL
Tarasenko - 2.5 post draft seasons in Russia, 0 AHL games
There are some notable names who did spend significant time in the AHL or were even drafted out of NA leagues:
Namestnikov - drafted after 1 OHL season, played another OHL season post draft, 134 AHL games
Dadonov - 2 post draft seasons in Russia, then played 155 AHL games, then went back to Russia, then came back to the NHL
Dorofeyev - 2 post draft seasons in Russia, has played 119 AHL games
Barbashev - drafted after 2 Q seasons, played one more Q season post draft, 131 AHL games
Svechnikov - 1 USHL season, 1 OHL season pre draft, straight to NHL, 0 AHL games
Sergachev - 1 OHL season pre draft, another post draft, 0 AHL games
So lots of guys spending a lot of time in Russia and very little time in the AHL or other NA leagues, a few less guys who actually played ~1.5 seasons worth of AHL games, just a couple more who played NA juniors and 0 AHL. I don't think putting Yurov in the AHL is all that important.
For the record, I don't have a problem with Yurov playing in the AHL if he's not NHL ready and is willing to play there, I just don't see the importance of making him play there first, and if he opts for the KHL instead of the AHL, I entirely get it. I also don't think it's going to be a problem, I think he'll be good enough to play on the NHL team next year.