In English, "the" is a throwaway word, hence why it's usually not capitalized even in proper nouns. I think the name should be LV, but I can understand why they chose "Vegas". Yet, on the other side of the coin, it's impossible for a NYC team to be called "York" or a New Mexico team to be "Mexico". "York Yankees" sounds more poetic without the "New", but it's simply a non-starter. Nobody ever refers to NYC as "York City" or "York".The whole "las" means "the" argument really doesn't hold merit.
Referring to the team as "the Las Vegas Golden Knights" would not be the same as saying "the The Meadows Golden Knights". The translation doesn't change the name of the city. That's not how proper nouns work.