Is it preferable that a Muslim living in a secular democracy try to make it an Islamic state, rather than move to a Islamic state?

In this question asking if a Muslim living in a democracy should turn it into an Islamic state, most of the answers seem to agree that the answer is yes, they should. But my question is, why is this preferable to simply emigrating to an already established Islamic state? Doesn't this allow the Muslim to live in an Islamic state as they desire, without having to impose it onto others?