I just don't see him as a very good goalie, and it's not from his time in Anaheim or anything. I just don't buy him as what you say.
Look at his THN scounting report - hardly definitive at all and not always up to date but it still gives you an idea of what you've got.
http://forecaster.thehockeynews.com/hockeynews/hockey/player.php?4642
Scouting Report
Assets: Has an abundance of puck-stopping ability. Is cool under pressure and plenty agile. Can put up great statistics at lower levels.
Flaws: Is wildly inconsistent, which hinders his National Hockey League value. Also lacks the ideal size for a goalkeeper at the highest level.
Career Potential: Talented but inconsistent goaltender with a little upside.
I don't care too much for sports site scouting reports - as a goalie, I'll take my chances with what I see in a goalie before most public scouting reports. That said, that profile is quite decent for how short it's trying to be. It's an old one, I'm sure, but it's still pretty on. And to be honest, not sure why that would make you feel more cautious. An "abundance of puck-stopping ability" is a pretty rave review. He's had some consistency issues, but it has generally gotten better since he got to Boston. Last season the Canes were a mess and it got to his confidence, unfortunately. We'll see how he handles his consistency here, behind what should sooner rather than later be a much more stable and helpful supporting cast.
Andersen has posted better numbers all throughout his career than this guy.
Better numbers overall, but he had the fortune of playing behind strong teams. Khudobin's bad numbers came from worse Wild and rather terrible Canes teams. It tends to have an impact on goalie stats.
He's also 6'4, which is basically the trend with goalies these days.
That's ideally how I want my goalie to be, as well. He checks a lot of boxes. Khudobin isn't fitting my blueprint for a perfect goalie too well, but he's so quick that he can challenge to make up for the size difference in many situations. More movement means more room for error, so that can be a problem when he isn't at his best, but when Freddie's not at his best, that isn't saving him, either, and he has areas where he isn't as strong as Khudobin. I prefer Andersen's style (well, I actually prefer Gibson's style over both, but he isn't at the overall level just yet), but Andersen has not shown to be so good that Khudobin can't be better even given his limitations.
I wouldn't mind Freddie showing he actually is on another level, obviously. But I wouldn't bet on it just yet.