To be fair, I think some of the reason a few bigger stars live there is their laws on the Paparazzi are a LOT tougher than here, so if you are as recognizable as a Johnny Depp, I can understand wanting to get away from NY and LA paparazzi.
As an ex-canadian, I usually am privy to tax attorney’s who handle some of the NHL players work stuff here in America. From what I’m told, (don’t want to say who or which team), it is cheaper for canadian players to set up shop in America than canada due to tax credits they receive using a certain visa. In canada, they pretty much take out 56% (around that rate), and they kill the NHL players returning to canada when it comes to tax time.
There is a reason why you see a lot of canadian ex-NHL hockey players marrying Americans and staying here for the long haul.