With TV Killer Frost, she's been there since the beginning of the Flash TV, actually first appearing in the episode of Arrow that worked as a backdoor pilot. This, when she inevitably goes "cold hearted" (I had to), it's supposed to be extra tragic.
This time for set up would've been able to do what many superhero movies wanted to do but couldn't. Iron Man 1 was going to have Mandarin as the villain, with Stane staying a seeming ally for the whole movie and only becoming Iron Monger in the sequel. This would've made his plot line less obvious, as well as more tragic. Similarly, Harvey Dent was going to be placed in what became Rachel Dawes' role in Batman Begins. This extra time with Dent would've made his downfall that much more poetic and tragic, because the audience has spent more time with him. Add the fact that The Flash is a TV show in its 3rd season, as opposed to a 2 hour movie, would've given even more time for this to take effect.
Yet, now that Caitlin is becoming Killer Frost, it's......what the heck? She's evil because.....muh white eyes? Like, why is she evil? Just because her Earth-2 counterpart was evil?! That's such a stupid reason.
Meanwhile, Comic Killer Frost doesn't just have ice powers, she's a heat vampire, and has constantly live by draining the heat from other living beings. That's automatically tragic. Now, Comic Killer Frost basically starts as a villain when compared to the development time of her TV counterpart. Yet, her turning evil makes more sense and is more tragic. If TV Killer Frost had to similarly drain people to sustain warmth, and the need and deprivation drove her crazy or even just resentful, it'd make sense. However, she doesn't even have the heat vampire angle, which is what separates Frost from other ice villains, making the transition jarring. Add in the fact that this means whenever Captain Cold makes his inevitable return, he can't get his New 52 ice powers without being completely redundant, and you have a whole host of missed opportunities.