Players like Messi are not simply let out of the clubs, he is a great player who is able to influence the outcome of the match. In the case of Neymar, this is a lot of show and little result. Yes, Neymar is a talented player, but he does not have a lot of willpower to win, when you watch games with his participation, you get the impression that he is happy with everything and everything suits him.
I feel like Neymar is a great player, probably the best of his generation, we had Ronaldo/Messi at certain time, and then after them the next generation of great player always been Neymar, and after him now Mbappe and Haaland is taking the generation after him. Just because someone didn't get UCL or showed how great he could be with many many cups doesn't mean that he is a bad player, look at Messi dude never won a copa america until this year does that mean he is not a good player at all? Of course not, and just because he won it this year doesn't suddenly make him a better player neither, he was always the best of his time and that is valid with or without copa america.
The reason why some players do not want to go to certain leagues is the fact the playing style is different, like for example in premier league it is a bit more harsh, in France it is a bit more fast, in la liga it is more technique it really changes from league to league and a player with great technique can shine in la liga but could fail in premier league, same goes for a player who plays hard, he may end up getting red cards constantly in la liga, hence every style has a specific league they can shine and players may not want to change leagues because of that.