Atas, I think you overestimate a number of people who seriously follow the N.
Just for example, I tried to find a decent NHL vk group and really ended quitting all of them. I didn't expect HFBoards level of interest for the NHL, but even there ~90% of people only follow the league by highlights of Russian players and half of the rest are russophobic elitists. There are very few watchers who do it because they love hockey.
I'd even say hockey in general isn't that popular of a sport in Russia. Among winter sports, biathlon and figure skating are easily ahead in people's interest (except maybe for the Olympics and Worlds, when bandwagoners come from nowhere), even with all hype for hockey and KHL.
It's even worse with the NHL because of the game time, as Atas already has said. People in the Western Russia have to get up 3 am to watch the game. Well, I'd have to get up at 6 - it's not a problem, i wake up early, but, um, I have a job so I'm never able to finish the game outside the weekends have to watch what I want later by less than convenient ways. Not everyone is ready for a stuff like that.
I don't think it's the main reason. No connection isn't stopping soccer fans to cheer for teams outside Russia, and I think you understand that there are a lot of hockey fans who never visit stadiums and have no home team?
There were times when we really had an NHL cult in the media, but the games were barely available to watch - so a lot of people were following the paper NHL. Fun times, catching those rare games and waiting for the Olympics/World Cups/World Championships in hope to see those best players. Now the sports media in Russia are pretty much dead, and to watch hockey is still quite a quest.
Actually the KHL made a mistake, essentially coming off Russia-2 so early. A lot of people still don't have khl-TV available.