I'm speculating here:

This isn't a free-market economy. Labour is strictly controlled to earn the most money for the Qatari masters (I mean sponsors). Letting workers just go back home and get a better job is bad for profits.

Secondly, in the west if you run without paying your debts, it looks bad on you. Here if you run with outstanding debts, it looks bad on your master (I mean sponsor). In some ways, it's still a very feudal society. The master (I mean sponsor) is responsible for his slaves/serfs, their conduct and behaviour.

Plus, in the west, it's an integrated credit market. Rack up a large credit card bill in the UK and chances are it will hurt you in the US. This country doesn't even have a credit reporting agency to track bad credit risks!