Maybe it confirms what I've been saying for years, players don't many of their taxes at personal tax rates. Never hear about Jays and Raptors complaining about taxes but somehow it's a CapFriendly fascination.
The tax situation matters, just not near the extent that it seems like when looking at tax brackets. The reason we hear more about it in the NHL, is the same as the reason we have more weird trades, like this one, and salary retention, and needing page long explanations for how come something is good/bad. The NHL has a hard cap, no other league does, and the NHL's cap system is the most convoluted and complicated, so every little nuance get's talked about incessantly. Cap Friendly isn't the problem, it's a necessary tool for fans to have a place to interact and learn about a system we wouldn't understand otherwise.
The thing about taxes is that it actually effects lower paid players more proportionally. The reason is that very wealthy players actually only spend a small portion of their salaries and bonuses to live each year, more gets invested and likely sheltered under a Retirement Compensation Arrangement. This basically acts as a big RRSP (for Canadians) or 401K (for Americans). This is essentially a system where a players employer places a big percentage of the funds into a trust for the player, no income taxes are paid at that time. That money can be invested (investment income is taxed, but more favorably), and the money is taxed when withdrawn later, but it is taxed at the tax rate of their resident at that time, which is likely in retirement.
This can allow for some very interesting scenarios. This is also the reason you hear about players taking out mortgages despite having millions of dollars available. It would actually make sense to pay a mortgage, or even just renting rather than getting paid out enough at the current tax rate to fully pay for the home. It can even be possible to set up a mortgage within a trust so that the player can lend themselves money from their own trust, taking the money as a loan rather than interest.
So very wealthy players usually have more money they can defer the taxes on in this way, and can afford the financial management to make this sort of arrangement worthwhile. They can keep the income they need to live quite low compared to what they are savings (and what is considered an expense).
The lowest tier players don't really have this same option. A player making $1M won't be getting most of their money as signing bonus and won't really be able to shelter the majority of their money in this way. The percentage of their income each year that gets taxed at the rate of their current residence is much higher than it would be for an Athlete making $1M in salary and $15M in signing bonus, since there will be less it may be too costly to set up as efficiently. An RCA usually costs money for a lawyer to set up, but if you had to pay a lawyer $20,000 (not really sure what they actually cost, but it's not cheap) to set on up to protect say $30M over the next few years, the future savings of up to 10-15% in tax is would make it so you wouldn't bat an eye at that. However if you have a 1 year $800k contract with no signing bonus, it could be quite difficult to Justify spending say $20,000 to try and defer tax on what is left over, since the future tax savings may never add to cost. So for a player like that, it can matter more where they play. The thing is with that though, players making that (at a young age), are usually taking whatever guaranteed money they can get, so we don't hear about a player choosing Tampa over say New York for that reason, because chances are there was no bidding war.