Mostly it is about control. They are in control of his development, coaching, injury management etc etc. If he tore up his knee like Nemec did or maybe a better comparison, broke his wrist like Dach when the Hawks loaned him... they suffer and do so without any real benefit. I would have loaned him, but there isn't zero risk to it either.
I get it, and the Rangers flat out said as much when they refused to send Lafreniere a couple years ago. But frankly there was very little to be gained by keeping him, even if he got injured in the tournament.
As far as Dach goes, he gets injured getting out of bed in the morning so it wouldn't have made any difference.