The WWE wasn't willing to pay him what Turner was paying him, or even WCW in general. Sting was WCW's main draw outside of Flair. Hence, the reason they squared off so many times. This was to sell Sting's merchandise. It's the reason Sting never left for the WWE. Vince was moving out of the era of "face painted" stars like Ultimate Warrior, and L.O.D. Sting didn't make sense creatively for Vince. I'm sure Vince had an offer to Sting that was far to little for Sting to ever consider, and it was likely insulting to him. Vince wasn't going to turn around, and give such a high salary to a non-WWE guy. That would have never happened. Sting wasn't going to wrestle the schedule for the pennies that Vince would have likely offered him. Luger was another story. He was physically impressive, and Vince saw a market for him vs his top heel Yokozuna. The same can be said for Sid Vicious. He had a marketable look back then that Vince wanted. Sting was a joke, and still is.
Like to correct you on a few things, starting with Luger.
Luger left WCW and signed to Vince for even less money than he made in WCW. The main selling point was that Luger would still be making good money, doing virtually nothing, as he was supposed to be the face of the bodybuilding company. He contractually wasn't allowed to wrestle until March 1993 and the bodybuilding federation went out of business by the time he healed from his motorcycle accident, which lead to Luger sitting at home for months collecting a check.
Vince never "signed" Luger with intentions of him facing his top heel, Yokozuna. For 1, Luger signed with WWF nearly 10 months before Yokozuna. Secondly, the few months Luger was "active", he worked as a heel until the departure of Hogan (again) left a void in top babyface challengers. In reality, Luger's first on camera appearance came in April of 1992, as a heel, his first match didn't come until March of 1993, as a heel and he turned babyface a few months later. So, I'm really curious how Vince saw a market in Yokozuna/Luger, over 10 months before they even began negotiating with Yokozuna and when Luger was, as a heel, on the sideline and not legally allowed to wrestle for nearly the first year of his contract?
Now, on to Sid. WWF signed him basically because of his look. He turned down guranteed money and a supposed promise as WCW champion for the chance to work with Hogan. Question is, did it help anything? Sid was fired less than a year later and the buyrate wasn't what was expected. Quite honestly, Sid fucked up 2 chances in WCW in 1991 & again in 1993 by doing dumb shit.
Now, on to Sting. Your post just screams hatred of Sting and causes you not to research anything before speaking. Because if you researched, you would realize that in the early 90s according to Meltzer, Sting had the best deal in the entire business by working a limited amount of dates. You can't say "creatively" what would make since for Vince to do because you're not Vince.
Lastly, you can't say "creatively" it didn't make since for Vince because when you look at the bigger picture, nothing worked creatively for Vince with Luger, Flair or Sid. Luger got hurt, which caused the bodybuilding organization to fold (despite it being a bad idea in the first place) and Vince tried and failed to recreate with Luger what he had with Hogan after initially introducing Luger as a heel. Despite having something good with Flair, about a year after signing, Flair wanted to go back home to WCW after Vince mentioned Flair retiring. Sid was just a total fuck up, failed the drug test before Wrestlemania and instead of accepting the suspension in 1992, opted to leave/get fired instead. Even the Steiners & LOD would leave for basically the same reasons, Vince not coming through on promises.
So if you want to talk "creatively" then "creatively" it made since for Sting to not go to WWF (in the early 90s) partly because of him having the best guranteed contract in the business and largely because what reason would he have to go to WWF?
Oh and you say Vince didn't want to go back to the days of painted wrestlers? Assuming you're talking about WWF pre-1992 because up until 1997, WWF wasn't in the best shape financially and very likely, couldn't afford to gurantee Sting more than the $750,000 a year ($500,000-550,000 downside) that he was making in WCW with limited dates. And it made absolutely no sense for Sting to join anytime after 1996, as he still maintained one of the best deals in the business.