It's a powerful urge for many of the star players that the team they play on is "their" team, which is a problem since most contender teams already have a superstar who own the team.
By that, i mean if KG joined the Heat, it would still be Shaq & Wade's team, not KG's. If they won the title, KG would have been looked upon as a missing link, not as The Man. He'd be Scottie Pippen, not Jordan. McHale, not Bird.
You see it very much in Kobe...he needs to prove he can do it with HIS team, not Shaq's.
I'm guessing KG is the same way, he wants to find a Pippen, not be one.