Assalamu Alakum Wa Rahmatulah Wa Barakatuh Brother Karl,
There is a distinction between want and need to -- if no Muslim land accepts them (and most of them are puppet states of the West) -- where are they forced to go? You are correct to say that if they died in their land, they will most likely go to Jannah. If Allah (the most merciful, the most exalted) had not chosen them to die there then must be a reason why they were allowed in the West. Islam is a global religion and I do think there is a reason why Muslim refugees may want to go to western lands - a good reason is to do Dawah and share their stories on how they got there. Any reasonable person would feel a level of remorse knowing that a group of people were forced out of their ancestral homeland due to a greedy group of powerful elite - even if they do not follow the same religious traditions.
Personally, I was born in the West and am quite frustrated with living here right now. My homeland has been in a state of Civil War, so it is not the safest place for me to go back to. I would prefer to live in either Makkah, Medina, or perhaps another Muslim-majority city (I do have issues with KSA, but the first two are Holy Cities, regardless of who controls them.) I would prefer to go now but it would not be permissible for me to leave under my understanding of Islam at the moment. In the meantime, I think the best thing is to find some internal peace and spread Islam in the best way possible (something I and am sure many other Western Muslims could do a better job at, while there are plenty of Western-based Muslims who do a good job at this already).
Also, these Western countries are choosing to treat their Muslim population poorly -- they are not forced by Iblis to harm us, it is their choice to listen to him and their own evil desires.
Just like we as Believers make the choice to be Slaves of Allah (the most merciful, the most exalted) - there are times in all our lives that it would be easier to succumb to our dark desires, but we signed a covenant to try our hardest not to (and it is a strong and serious covenant placed upon all of us) so must constantly improve and reform our behavior. So part of the problem probably has to do with how Western Muslims act in these lands, but honestly, this is like the Chicken or the egg scenario imho. Do we place more blame on the oppressed for lashing out at times or do we blame the group doing the oppressing -- I would be more likely to place more blame on the latter, but that does not completely excuse misbehavior from the Believer. We are taught to be better, and we should act better as well in ALL circumstances because our religion is one of Success, and if we believe in that truly, we will see our Ummah do amazing things regardless of where we are.
Also, as a final point, I do disagree that the West is purely Satan's land. There are Western Muslims who reverted back into Islam after exposure from born-Muslims and other Muslims who travel to the West. Do these people not deserve the opportunity to be exposed to the Truth and have the opportunity to accept it? Allah (the most merciful, the most exalted) created all of us, therefore, it is incorrect to demonize an entire group of people or an entire region. My criticism is towards to the powerful elite and the people who partner with them in spreading lies, discord, and sins - not the entire population. There are plenty of good-hearted people who live in the East, the North, the South, and the West.
And Allah (the most merciful, the most exalted) knows best.