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In the world of Game of Thrones Essos seems like a bigger continent and a more beautiful and warmer place with a thriving economy and a diverse cultural and ethnic diaspora. In comparison, Westeros seems much more dry and cold with a poor economy due to the harsh winters and the instability of its rulership.
So why does everybody in the show want to rule over Westeros? Doesn't Essos seem like a much better place to control and live in?
Because Essos is not a single country, but a collection of city states, often with vast amounts of 'nothingness' in between. While Westeros is already a single kingdom for 300 years where the biggest part of the realm is relatively densely populated. It's only towards the south (deserts) and North (tundra) that population density falters quite a bit.
Because of the distances and vast different cultures, it would be incredibly difficult, if not impossible to get all the city states under single rule. In fact, we've seen an attempt fail with only three of them that were relatively close together. Daenerys had to conquer each city separately, and decided to settle in Mereen but wanted Astapor and Yunkai to follow suit. She didn't even want to rule the latter two directly but adhere to basic policy, which they not only ignored but they even rebelled as soon as any major force of her left. This strongly implies that to take and keep control of all those cities you need to have loyal, trustworthy representation in all those cities, backed with enough armed force to enforce your rule. That seems implausible.
Contrast this with Westeros where almost any conquest of the whole country/continent has been handled within a few (<5) big battles, certainly not fighting for every city and where a relatively stable (except for the latter ~20 years) feudal system is already in place, where the high lords/wardens rule in your name and absence and enforce it with their own bannermen. This is obviously also not perfect when the Lords rebel as we see in the show, but at least the country is used to work this way and should be stable as long as you have more or less trustworthy lords (which Daenerys e.g. started doing by appointing Gendry).
Also note we mostly see the harsher regions of Westeros (the north, the riverlands while in war, dragonstone). The only 'grand' location we really see is King's landing which does seem to be a flourishing town, though the show focuses mostly on its problems. But in Westeros there are many more cities like Casterly Rock, Highgarden, Oldtown, and quite a few others that are wealthy (good economy) and culturally rich, though we barely see those.
So summarized, Essos is far from being a united country and moving it towards that would be extremely difficult. Westeros is already a united country and while it has had its recent problems it is used to this form of government with a certain level of stability.
Because the story focuses on Westeros and is about Westerosi people. If you read a story about a real country, every character in that story is probably somehow focused on that country; it doesn't mean that that country would be important in the world of the story.
When Daenerys is in Essos, she is doing everything because her entire life has been built on the idea that her family is the rightful ruler of Westeros and she must take it back. Varys came from Essos but only cares about Westeros; but he is a character in the story only because he is in the King's council in Westeros when the story begins.
Maybe there are people who emigrated from Westeros to Essos with similar ambitions, but we never hear about those because that's not what the story is about.
