C525 FLT CREW UNABLE TO OBTAIN VECTORS TO HND PROCEEDS TO LAS.

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LAS APCH REFUSED VECTORS TO VISUAL AT HND (OUR FILED DEST). WHEN ASKED OUR INTENTIONS; I ELECTED TO PROCEED TO OUR FILED ALTERNATE OF LAS; WHICH REQUIRED AN ILS. CEILING AND VISIBILITY WERE LOWER AT LAS THAN AT HND. WE WERE UNABLE TO SEE HND FROM THE LAS RWY 25L ILS COURSE; BUT COULD SEE THAT IT WAS MUCH BETTER THERE. APCH ASKED US TO CALL THE SUPVR; WHO WAS SAYING I SHOULD HAVE FILED TO LAS ORIGINALLY; NOT HND SINCE I WAS DISRUPTING THEIR TFC FLOW WITH THE WX THAT LOW. MY BRIEFING WITH WX SVC HAD PROVIDED AN AREA FORECAST OF AFTER XA00 4000-5000 FT BROKEN; VISIBILITY 5 MI IN LIGHT RAIN. WHILE LAS FORECAST 5 MI VISIBILITY WITH 800 FT BROKEN; 1500 FT OVCST (WHICH WAS GOOD AS AN ALTERNATE) LSV'S FORECAST WAS VISIBILITY GREATER THAN 6 MI WITH A CEILING OF 3000 FT. HND WAS RPTING VFR AND I SAW NO PROB IN GETTING IN THERE VISUALLY WITH VECTORS AS I HAD DONE 2 DAYS BEFORE. I THOUGHT THE WX WAS IMPROVING BASED ON THE LSV FORECAST. I WAS SURPRISED WHEN APCH HAD NO TIME FOR VECTORS; SO I COULD AT LEAST ATTEMPT A CONTACT APCH. IN OVER 2 DECADES OF FLYING INTO THE LAS VEGAS AREA; VERY OCCASIONALLY; I HAD NEVER SEEN THE WX LIKE THIS THERE. I REGRET CAUSING A PROB FOR APCH; AND IN THE FUTURE SHOULD FILE INTO LAS; THEN CANCEL TO LAND AT HND IF IN SIGHT.