The reason is simply that Statego is a lot like checkers and chess to the point that you get the best of both worlds. You always have to be one step ahead of your opponent in order to win the game other wise your flag will have been taken before you know it.
Not only is risk about conquering the world, it also takes you a proper amount of time. Sure, it's fun to play a 1v1 game of Stratego, but it will never have the decision making involved in Risk. If you are losing in Risk, you have a chance to redeem yourself and take back some land. If you lose your Marshall in Stratego, you lost, because the enemy Marshall will simply attack anything that moves.