Because it's all about how much money the city making the bid offers, not about taking less money and putting it in a hockey-friendly environment. I'm not sure there's even a college program in Missouri or neighboring Illinois.
Lindenwood, also in the suburbs, is in maybe its second year of D-I hockey but has had women's for about a decade now.
The state of the regional tournaments has been a lengthy and ongoing debate, particularly in the western half of the game. The main problem is that the NCAA will not allow campus sites to host, and many of the 5-10,000 capacity buildings west of Detroit don't want to take a bath when they get a regional full of small or geographically-dispersed fanbases that won't fly on five days notice to a meh location with expensive tickets. This small arena was something of a hedge against that (and probably a dry run for administrators, as the 2025 Frozen Four is in the Blues' arena). There is another regional in Sioux Falls, but unfortunately for all involved, North Dakota blew it in the semifinals of its conference tournament and fell off the 1 seed line. The NCAA hockey tournament is selected and seeded much more objectively than basketball, and they weren't going to warp their bracket to give easy travel to the 2 seed, and so the way the cookie crumbled is that the small arena ended up with college hockey's most rabid (and another word that starts with 'ra') fanbase, plus two rival Big 10 schools.
Someone else mentioned Denver basically having to play a road game yesterday, and that's because of another NCAA wrinkle. You may know that in men's basketball, a host school can't host their team's own regional, but in men's hockey, the host school MUST play in its regional if it makes it (to goose attendance numbers), no matter what its seed. UMass, the Springfield Regional host, got the last spot in the objectively-determined 16-team field, and only because Denver won the NCHC tournament and by doing so, mathematically knocked out their biggest rival, Colorado College.