Why would T Mac go there when he could be the 2nd half of a new millenium dynamic duo with the best perimeter player in the league at that time Grant Hill?
Remember, this was only one year removed from the '98 title. If McGrady had gone to Chicago and done what he did in Orlando the endorsements would have been crazy. He would've been deemed the successor to you-know-who. Probably would've gotten a LeBron-like contract from Nike. More money from his other contracts too. He definitely would have overtaken Kobe.
If he had gone to Orlando and Hill was actually healthy, it may have just been like Toronto II, when Vince got all the attention and McGrady was the sidekick.
Instead he pulled a Marbury and went home. That almost never works out (see: Junior). I don't think it's ever worked out since Barry went to the Giants.