The South Korean justice system is notoriously lenient on white-collar crime, and it's exceedingly rare even for violent criminals to be murdered in a Korean prison. The popular perception is that you can spend a couple of years in prison and enjoy your ill-gotten gains for the rest of your life with no further repercussions, provided you've hidden your money well enough. Guess what, the whole point of crypto is that it's easy to hide.
A few years ago, a man named Son Jung-woo was arrested for running what was the largest child porn site in the world back then. His sentence? 18 months. The U.S. wanted to put him away for life, but the Korean courts would not deport him.
I'm sure Do Kwon would rather hand himself in to the Korean authorities than risk going to prison in any other country.