This is a much more complex situation than maybe people realize.
1) Vegas feel like they have a good team and they know what they have in each player. Because of the cap situation signing Gusev means trading a forward they like to make the room both cap-wise but also because Gusev needs a fair chance to succeed in a top 6 role. I don't think McPhee is comfortable doing that knowing what happened with Shipachyov and because he likes his top 6 as it is. Even though Gusev is the better player, doesn't change the fact he's unknown in the NHL. The risk is there that you're just screwing up what you have right now. Thus they're looking for trade options.
2) Gusev has tremendous potential, everyone who have seen him play the last couple years or realize how dominant he's become in the KHL must understand this. That includes GM's around the league. McPhee knows what Gusev could potentially do for a team, and he doesn't want to give him away for peanuts - especially to a team Vegas is competing with in the standings/and or playoffs. For example, getting back a 3rd round pick just to get something and potentially making one of your rivals significantly stronger isn't worth it. So to trade Gusev, Vegas is likely looking at the Eastern Conference teams AND a good return but teams are hesitant to give Vegas anything significant for a player who is unproven in the league and already wants significant money. Makes it a tough combination to come to an agreement what he's value is.
3) Trading Gusev to Eastern Conference team for a meh return has it's risks too. The team getting him can do whatever they want, there's always a chance SJ calls them and offers more than what they gave up. And before you know it, McPhee realizes Gusev ends up playing for their biggest rival (or someone else in the division/conference, just using SJ as an example). My point is, trading Gusev to any team in the league for a meh return simply isn't worth it UNLESS there's specific conditions like for example the team he ends up with can't trade Gusev to a team in the West and if they do they lose a 1st round pick to Vegas - or something like that. Means it'd be a pretty complex trade.
4) GM's around the league know Vegas don't have many options other than to trade him, so of course they want to take advantage of the situation and offer as little as possible.
5) Then there's even the Clarkson contract that could be in play. I mean, it really isn't as big of a deal as some people think, Vegas can ice a roster with him in the books, just means less roster flexibility in season. But unloading him is away to lessen some of that headache.
In conclusion there's probably a gap right now in offers and what Vegas is looking for/there's some complex trade options that could take time to materialize.
I believe someone out there has to be really confident in Gusev and deciding to go the whole 9 yards to make it happen. Meaning they give up something pretty significant for Vegas to go "alright, this is good enough". If this doesn't happen, Vegas may very well just let Gusev return to the KHL and get nothing. At least they know they didn't make any team out there stronger.
But - if you ask me, im pretty confident the former is what's going to happen. It's not often a player of Gusev's caliber is available like this. Especially after seeing how Panarin did, i think there should be plenty of interest.