Many Episcopalians remain in the church because they have deep family ties. For some, their families have attended that church for generations, sometimes their family gave money or land for the church to be built. Those ties are painful to sever. I know because I did it.
Gorsuch's family was Catholic for generations and he was raised a cradle Catholic and graduated from a Catholic school. He converted to the Episcopalian faith while at Oxford.
Virtually every case of a Catholic-to-Episcopalian convert is when the individual converting holds views to the left of Catholic theology, so they join a denomination with a virtually identical worship style but much more "progressive" social beliefs (pro-abortion, pro-gay marriage, women priests, etc.)
While its certainly POSSIBLE for a staunch Antonin Scalia type conservative to convert from Catholic to Episcopalian, I have yet to meet a single example of one. It's possible the same way that its possible for a snow storm to happen in Miami.