There is no salary cap in the MLB, and I thought the NBA had a soft cap as well (they can go over and pay luxury tax)?). That isn't comparable to the NHL.
I provided three sources in my comment, I was hoping you could provide one to help explain things.
In this article it mentions that Washington players reside in Virgina or Maryland and are taxed there, but that is still only a couple hours away.
https://www.google.com/amp/s/hockey-graphs.com/2019/01/08/how-much-do-nhl-players-really-make-part-2-taxes/amp/
I doubt a player like Sergachev could play for MTL and claim he resides in TB.
The rest of the article brings up plenty of examples of how income tax is a factor in what a player takes home.
Tavares, Stamkos, etc.
Another quote about Pacioretty:
"And for others, like Max Pacioretty in Vegas, it’s what makes a contract more cap-friendly since Montreal would have to pay him about $1.7 million more to have the same take-home pay."
You are applying some American standards to Canada. Why would you think the rules are the same. Actually in the US, a lot taxation depends on where you earn the money not necessarily where you reside. In Canada, it's where you reside for majority of the time. Most Leaf players can be are out of province/country more than six months of the year.
I've been told and shown players can incorporate their salaries and only be taxed on the money they take out in given year.
But again never hear of NBA and MLB players complaining of Canadian taxes when they sign or get traded its only the contributors on CapFriendly that think it's an issue.