Why do you think Aegon I decided to conquer Westeros? He could have carved out a respectable empire in Essos, which as you have pointed out, is more culturally advanced than Westeros. Do you think it was his ego that demanded that he not stop until he had the whole thing (although he did stop without conquering Dorne), the practical concern that and empire in Essos, being too big to be conquered in its entirety, would always have an easy route for land invasion of his new kingdom, etc?