"Sometimes it just doesn't work out," McPhee said, "and you have to know that going in."
McPhee said there was a trade in place for Shipachyov but he didn't want to be moved to another NHL team.
"We gave them permission to seek another deal in the NHL if they wanted to," McPhee said. "We found a deal in the NHL, he didn't want to play. He wanted to go home."
Shipachyov did not make the Golden Knights' opening-night roster and didn't make his NHL debut until their fifth game of the season on Oct. 15, a 3-1 win against the Boston Bruins, when he scored a goal. It was his only goal in three games with Vegas, and he was suspended on Oct. 29 after failing to report to Chicago of the American Hockey League.
"He needed to play," McPhee said. "Everyone here was playing better than he was. He needed to play and we were willing to have him play in Chicago."
Prior to signing with Vegas, Shipachyov played nine seasons in the KHL and finished third in the league with 76 points for SKA St. Petersburg in 2016-17.
"He just wanted to go home, and we accommodated him and we wish him well," McPhee said. "He's a good player, a good guy and it just didn't work out for us, for him here."