Here's the vid of Sting's reasoning as to why he never went north after WCW closed:
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(IDK why but it wont embed so fuck it)
This video pretty much sums it up. Back in 2001 he was just burned out and needed a break. Also, like he said he didn't like the product at the time. I've also heard that like previously stated he likes the current direction of the WWE. I think that with the PG WWE and Sting knowing he doesn't have much time left I wouldn't mind seeing him go to the WWE, if for nothing else just a true Sting DVD (I'm sure if he wanted to he could buy the rights to his TNA material) and HOF induction. But, I think with the right build and opponent he could have one last epic match, at Wrestlemania, be it this year or next.