Potentially.

If you've read this far, you're interested enough in Avatar lore to know that it's cyclical. These humans are (un)lucky enough to be born with every elemental power available in their world and that elects them to a position they never asked for.

Korra lost her bending because Aang wasn't diligent in staying on top of Yakone. Aang's people were wiped out because Roku let his power-crazy jilted ex run around freely. Kyoshi created the Dai Li who became secret police terrorizing Ba Sing Se. Kuruk neglected his diplomatic Avatar duties leaving the world in political shambles by Kyoshi's time. And Yangchen gave humanity everything it wanted at the cost of the spirits because Szeto spent his whole career increasing the Fire Nation's power.

What would drive the Avatar, master of all four elements and bridge between the physical and spirital worlds, to leave everyone outside his home country to fend for themselves?

I posit, dear reader, that Szeto was worried for the very Avatar Cycle itself.

In my eyes, it becomes clear pretty immediately from what we learn in Kyoshi why he may have - again, potentially - done so. The Fire Nation is actually comprised of a series of differently-sized landmasses called the Fire Islands. For whatever reason, in Szeto's time, these Fire Islands were on the brink of collapse. Kyoshi shows us that being ambitious and power-hungry wasn't something Sozin started, but that Fire Nationals have it in their blood.

Infighting, backstabbing, and so much more would have been commonplace. Szeto would have been born into a Fire Nation on the brink of collapse. And sure, he was the Avatar, everyone's Avatar, but if he gave the other parts of the world equal attention, and the Fire Nation implodes, would another Fire Avatar ever even be born?

In Yangchen's second book we see he had a room at the Air Temple, so while he wasn't in his home country 100% of the time, judging by his reputation it had to have been 90% or more. Szeto had to leave the world in such a mess for Yangchen. Because if he hadn't given the Fire Nation as much attention as he did, the possibility must have existed, or at least been real enough in his mind, that it wouldn't last much longer.