Lately, there have been a number of non white politicians in the South who have made names for themselves in politics. Bobby Jindal, GOP Governor of Louisiana, and Nikki Haley, GOP Governor of South Carolina, are both Indian. Tim Scott, a Black Republican, won South Carolina's 1st district. Allan West won a seat for the House in Florida in 2010. The South is a pretty important part of the Republican base, and it maybe that in order to consider a serious career in Southern politics, one may have to be a republican, because that's how the majority of Southerners typically vote. This is not to say that Davis didn't genuinely want to change, but at the same time, anyone running for office must consider the realities on the ground.
On the other hand, its possible the Democrats veered too far to the left for the population and for people like Mr. Davis. The Democrats response to the poor economy relied a lot on temporary increases to unemployment and food stamps. Oh, and there was Obamacare, the national healthcare plan. But most Americans would rather work that receive government benefits, and what good is healthcare going to do you if you're living in a cardboard box? The best healthcare one can have is a stable place to live, and income that affords one a good diet, since without food or stable housing one's immune system is substantially weakened, and a number of illnesses will set in.
So its possible that a Democratic party policy that focused on giving benefits to the poor, which ironically often serve to keep them poor, ended up repelling Davis. Davis has two degrees from Harvard, a bachelors and a law degree. He quite clearly worked hard to be where he is. So why would he want to deal with the Democrats cult of poverty?