I'm not even sure this has to be a mental state issue.
This very well could be as simple and straight forward as, he needs more experience, we don't feel he's up to snuff to get that experience in the AHL, and so let him get that experience in the KHL for now.
It doesn't have to be a layered scenario involving mental states, the Rangers talent evaluations, their drafting, the personality of their coaches, the alignment of the stars, etc. etc.
It could just be as simple as everyone feeling he was ready and realizing he was not. So at that point, you have two choices: pretend he's ready and force the issue, acknowledge he isn't and reschedule this phase of his development.
Yeah, it's disappointing. But I don't see anything here that constitutes a crisis either.