Why is sulfur hexafluoride more stable than selenium or tellurium hexafluoride?
$\ce{SF6}$ is extremely stable for purely steric reasons, because S is completely blocked by fluorine atoms from all directions, so the reactions starting with an attack on S that otherwise would readily occur (hydrolysis, etc.) never have the chance to occur. This has nothing to do with electronegativity. For another similar example, look at $\ce{CCl4}$.

Now, the word "stable" is commonly used in two different senses. A compound may be stable by itself, i.e. not prone to spontaneous decomposition; in that sense $\ce{SF6}$, $\ce{SeF6}$, and $\ce{TeF6}$ are all totally stable under normal conditions, so there is nothing to compare. On the other hand, we may consider "stability" as inability to react with common reagents, e.g. water. In that sense $\ce{SF6}$ is indeed far more "stable" than the analogs, and that for the steric reasons (see above).

As for the thermal stability, that's another story altogether, so I don't really know how it would turn out. I wouldn't be surprised if $\ce{TeF6}$ would indeed happen to be the most stable of them all.