The thing is with an "under the table deal," it's not official. That's how it works. That means Vegas gets a few days to negotiate directly with those players. There's very little to stop Vegas from throwing a big deal in the direction of Oshie or Alzner during that period. Even if Oshie or Alzner don't end up signing the deal then, it can give them leverage to drive their price up even further.
Plus if McPhee smells an illegal deal in place with a player he's negotiating with, he'd likely report it.