If Ronaldo played for one of the other top four teams I rather doubt you United fans would like him! Just as I'm sure we'd only like him if he played for our team. I'm sure no-one's doubting how good he is. No player from the Prem has won world player of the year though.
I haven't seen the interview, but judging from what I've read it sounds like he's thinking of a new challenge if he wins the CL, since all there'll be left for him to do, is do it all over again and there's no guarantee's he'll succeed, he probably wants to leave on a high like Wrighty when he won the double with Arsenal.