Why has Sting never gone to WWE? Did WCW have him locked into a long contract? Was he just too loyal to jump ship? Does he like playing for the underdog (hence the TNA move)? Was Vince not really impressed with Sting? Was he too expensive? Was he ever close to going to WWE? What's the story?
Basically yes, he was too loyal to jump ship, and had a much better deal in WCW than he would have received with the WWF anyway. He has long stated that he didn't agree with the product presented by Vince and didn't want to participate in it, although the last time his contract was up with TNA there was some pretty serious negotiations to bring him in for Wrestlemania as Undertaker's opponent. I believe that was either the second Shawn match or the "first" HHH match that was supposed to be Sting. There wasn't much in the way of details at the time, it was just one of those "Oh, by the way, this almost happened" things that came out later on.