Most likely because people had big families, and it would cost another Union soldier for every Second-Try-Confederate they had to hunt down. Andrew Johnson offered amnesty (probably Lincoln would have done the same,) they accepted their pardons and swore oaths of loyalty, then ranged from Acting Right to Being Insanely Violent Dickheads in the following years.
Jeff Davis did a little time, but never got the trial he wanted so he could weasel out of a wee bit of treason. Feds were probably like "pound sand and eat your prison food, Mr. Imaginary President."
About those former Confederates who went to Mexico, Brazil, Central America, and who knows where else, I imagine they knew what happened to failed rebellions, and they didn't know that the hang-em-high faction up north wouldn't prevail. Also, there was a fair amount of war-criming depending on when and where they fought. It'd be just their luck to go back to Old Kentucky and run into some guys who Knew What You Did Last Summer.