WWE Hall of Famer "The Heartbreak Kid" Shawn Michaels recently appeared on The Ross Report and told Jim Ross that at one point he actually asked Vince McMahon for his release from WWE so he could join his friends in WCW:

“I thought about it, but there’s two things. I went to Vince and said ‘Let me go. I’m miserable here, I wanna go down and be with my buddies. He just said no. I’m under contract under WWE, so I couldn’t. But there was a time I wanna go.”

“He said, ‘You’re a creative guy. Once you get past being angry and it comes to working, you want to do things your way. They won’t let you do that down there, and that’s going to kill you. They’ll kill the one thing about this business you enjoy.’ I think he had some validity there."