Maybe it's money-related? Banking/tax laws? I admit I haven't a clue what the attraction is for living in Bahrain.
Bahrain is an island off the coast of Saudi Arabia that has used its physical isolation to create a 'sharia free zone'. It's basically the Las Vegas of the Middle East. Alcohol, nightclubs, scantily clad women, the works. Safe, clean, and basically only lip service played to Islam. With the kind of money the Emir of Pop has, he'll be above the law.
It's actually a pretty shrewd move. Bahrain is a relatively nice and modern place. The goverment will treat him like royalty, since he'll be great for tourism. His goons will be able to discourage paparazzi a lot more effectively. Local society there will be able to provide for his, um, other interests, without any social stigma. For a person in his position, I can't really think of a better place to go and start over.
First and foremost in that little pervert's mind are 1) extradition treaties and 2) bribable cops/judges/prosecutors.