On Oct. 12, Virgin founder Richard Branson announced he was pulling out of talks on a $1 billion (U.S.) deal with Saudi Arabia over the killing of a Washington Post columnist. State involvement in the killing, “if proved true, would clearly change the ability of any of us in the West to do business with the Saudi government,” Mr. Branson said.

Days later in a text message, Mr. Branson counseled the Saudi crown prince, Mohammed bin Salman, to release female activists his country had imprisoned.

“If you were to pardon these women and a number of men too, it would show the world the Government is truly moving into the 21stCentury,” Mr. Branson texted the crown prince. “It won’t change what happened in Turkey but it would go a long way to start and change people’s view.”

Mr. Branson was one of the first in a parade of CEOs, fund managers and bankers who scrambled to figure out how to preserve their relationships with Prince Mohammed after the murder of the journalist Jamal Khashoggi in Saudi Arabia’s Istanbul embassy in the fall.

Mr. Branson urged Prince Mohammed to change his ways. Others adopted a dual strategy of public condemnation while trying to continue to do business as usual. Some shunned the formality of Saudi Arabia’s high-profile investment conference but pursued informal gatherings instead.

The reason: Many have tied their companies’ future to Saudi money and Crown Prince Mohammed’s wide-ranging economic overhauls.

“This whole Khashoggi thing doesn’t mean anything,” said hedge-fund manager John Burbank, who has been one of the U.S.’s most prominent investors in Saudi stocks. “It means much less than the big, sweeping liberalization that’s happening in the kingdom.”

MBS, as Prince Mohammed is known, politely thanked Mr. Branson for his input. A few days later, the crown prince publicly denied involvement in the murder, calling it a heinous crime. The U.S. Central Intelligence Agency has since concluded that he likely ordered the killing.

Representatives of the Saudi royal court and government didn’t respond to questions about messages between the crown prince and Mr. Branson.

American investors in Saudi stocks, besides Mr. Burbank, include Peter Thiel and hedge fund Bienville Capital Management, among others. Roughly 4% of the total Saudi market is held by foreigners.

“One person’s life doesn’t matter unless it’s MBS’s,” Mr. Burbank says. “Khashoggi doesn’t matter.” He adds that investors who have steered away from Saudi Arabia are hypocrites, because some of them also invest in Russia and Turkey.

Mr. Burbank was among the dozens of Western executives and investors who showed up at the home of Yasir al Rumayyan—chairman of Saudi Arabia’s sovereign Public Investment Fund, which the crown prince oversees—on the eve of the investor conference in October. Over platters piled high with roast lamb, towers of sweets in golden birdcages and champagne flutes of fruit juice, they toasted their relationship beneath palm trees tinted by purple spotlights, attendees said.

SoftBank CEO Masayoshi Son backed out of the conference, but he still showed up at the lamb feast. Uber CEO Dara Khosrowshahi also pulled out of the conference, but Uber co-founder and board member Travis Kalanick was at the party, along with former congressman and current banker Eric Cantor and his boss, banker Ken Moelis, and venture capitalist Jim Breyer. Thiel Capital portfolio manager John MacMahon also appeared at the dinner, and the chief executive of Silicon Valley construction startup Katerra, Michael Marks, attended the investment conference.

Matt Barnard, the CEO of Plenty—an indoor-farming startup with $200 million (U.S.) in backing from a Saudi-backed SoftBank fund—flew to Saudi Arabia for the conference. But he returned home without attending, a Plenty spokeswoman says.

The cost of shunning Saudi Arabia could be high. Some business partners fear losing access to the kingdom in the future if they pull out of Saudi deals now.

Ari Emanuel, the CEO of Hollywood talent agency Endeavor, is negotiating to return a $400 million investment that the Saudi sovereign-wealth fund made in his company earlier this year, people familiar with the company’s plan say.

In the wake of Mr. Khashoggi’s disappearance, Mr. Emanuel said he was “really concerned about it.”

Representatives of the Saudi royal court and government didn’t respond to questions about relationships with foreign investors. The Saudi sovereign-wealth fund said in an emailed statement that business partnerships “are not based on attendance” at the conference “but rather on criteria linked to PIF’s investment strategy and portfolio diversification efforts.”

Businesses continuing their work in Saudi Arabia include media, money managers and venture capitalists.

Bloomberg LP, for instance, is moving ahead with its joint-venture Arabic business television channel with Saudi Research and Marketing Group, a company with longtime ties to the kingdom’s ruling family, despite Bloomberg Media Group Chief Executive Justin Smith’s pulling out of speaking at the conference.

Jay Penske, whose media company received $200 million from the Saudi fund earlier this year, has no plans to return the money, according to people familiar with the matter. He attended the Formula E race in Riyadh last week with his team, Dragon Racing, the company spokeswoman said.

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And SoftBank isn’t giving back the billions that the Saudis pledged to its Vision Fund I. The company has declined to comment on whether it would accept Saudi funding for its next Vision Fund, despite MBS’s public statements he was eager to invest in it.

Mr. Branson, who was never scheduled to attend the conference and gave the crown prince advance notice of his plans to back away from a $1 billion investment in his space business, has been told he’s still welcome in the country.

“Were there mistakes made? Absolutely there were mistakes made,” said Matt Michelsen, an associate of John Burbank and a Silicon Valley investor. “But this place is changing. I saw Starbucks opening on multiple corners. There are women walking around without abayas. It’s a fundamental shift that’s occurred.”

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