Anyone would would leave the biggest promotion in the world to be a champion of an upstart company with no TV, no PPV, running for a couple hundred fans in minor league baseball stadiums is a mark to the highest degree. If Gabriel was so awesome and amazing, he'd have been picked up by a real promotion already. At absolute best, he's on TNA TV for another 4 weeks and then what? NJPW wasn't interested. ROH isn't interested. PWG isn't interested. Nowhere but local indies, which is essentially what GWF is.
How would anyone get more exposure as champion of something like GWF than being a WWE talent? TNA has been around for 13 years and people don't know who the fuck anyone that works there is. The handful of real talents went on to bigger places, but ask a random person who AJ Styles is and they're going to have no clue.