The KHL might not be making big money right now, but the potential is there for the KHL more than any other league because they are refusing to be confined by national borders and federations. They want to put teams in major European and Asian markets to CREATE that market for broadcasting KHL games and to get increased sponsorships.
Unlike the various domestic championships run by the national federations in Europe, the KHL is a business. They are doing everything they do for a reason - money. While that money might not be coming in just yet, we are talking about a league that is only a few years old. Don't worry, they know exactly what they're doing. The NHL has been around for 80 more years than the KHL. In 80 years I would not be surprised at all if the KHL was pulling in similar revenue.
The League itself is already profitable (starting with this season), but none of the franchises are.