The Royals can use Kansas for leverage. Much like the Bengals could use Kentucky, Dayton, Columbus, etc. from your examples. So maybe it's the leverage of being able to move within the metro area.
As you point out, that probably doesn't matter nearly as much to the fans. I mean, a Braves fan might be kind of bummed that the Braves are out in the 'burbs, but the team is still in Atlanta (ish), so it's not like the fan lost his or her team. Way different than having your team move from Oakland to Vegas.