Well there are lots of replies so I'll just answer with some general thoughts.
The KHL isn't really a super league. It's a domestic league with a few teams in Eastern Europe and a tons of teams from relatively remote Russian small cities. Certainly there could be teams from Russia in a European super league, but if a super league is going to be run by Russians with connections to Putin, I don't really have a lot of confidence in its success.
I don't know a lot about European sports rivalries. It's true. But the examples used why it wouldn't work don't seem super compelling. London and Paris playing each other a bunch of times could create a rivalry. There are national rivalries in the Champions League, but there is no consistency on who faces each other so it's hard to see long term rivalries forming. But the idea that there is no nationalism in Europe sports doesn't really add up when you look international soccer. Obviously, there are differences, but the point is that perhaps this shouldn't be dismissed out of hand like some people here are doing.
Regarding the financial issues, perhaps I'm biased, but I do think that the money could work. It is a compelling sport to watch but it's one that you need to see live to get the full experience. Similar to how teams in non-traditional markets in the US have built a following. LA has no history of hockey and is a very busy sports market, but the metro population is the same size as Paris and it manages to support two NHL teams with combined revenues of $340m (Forbes).
KHL aimed to expand to 60 teams starting in 2010. They failed to do this despite having much more money and influence than any other institution, including the NHL or any group willing/able to start a European super league. He managed to get 8 non-Russian European teams to join the KHL. He was one of the few people with the finances and support to actually accomplish it. I pity you if you think the NHL would get them together. It took years to get pre-season games against teams.
London and Paris teams playing each other would not create a rivalry. Stoking Great War-type nationalistic rivalry to create great sporting opportunities between countries is another faux North American thought by you. That does not work, and even during the one time it does happen during the World Cup it is pretty tame. I invite you to travel to Europe. Trying to get people in one country to get behind one North American-styled franchise team is not possible. Once again, footballers tried this and North American franchises do not work in Europe as much as European style promotion-relegation style doesn't work in North America.
International soccer is different. That is country against country. That is not a team. That is a national team. Team USA vs Canada during the Olympics does not translate London vs. Paris. The moment the Olympics are over, you are not waiting for the next American team to come along. During the Champions League, PSG does not have a great rivalry with Arsenal or Chelsea despite the France and England not liking each other.
Regarding the financial issues, you're completely uninformed but you think it will work. Look at the finances available for European pro hockey leagues.
Los Angeles with no hockey history? Los Angeles had Wayne Gretzky, the greatest hockey player in history. They had a stacked team for many years in the 80s. Luc Robitaille, Rob Blake, Dave Taylor, Marcel Dionne. You call that no history of hockey?
Oh, I get that. But that's because there is a local rivalry there. If London was the only team in the UK, it would be a different dynamic.
Once again, another inaccurate North American thought on Europe. This was the goal of the KHL when during European expansion. The entire country didn't start supporting Lev Praha, despite being in the capital, largest city, and being on of the top non-NHL teams in the world. All of England will not stop and support a London NFL team according to studies done by the NFL. Out of all of tickets bought for the NFL series, 9/10 were coming from within an hour of London, which is regular commuting time for most. People in Manchester are not getting behind a NFL team in London. Like many things you have asserted, Canadian baseball fans cheering the Blue Jays from all over Canada is a Canadian thing that does not translate to Europe.
I suggest you travel or live in Europe or really read any of European hockey history before you comment further. If a super league was possible in any sport, with the interest from business people that have attracted by it and the numerous times it has been tried, it would have been done long ago. I can even provide articles if you seek those reading material, translation not included.