it matters a lot at the very high end where you can save potentially millions but for the average nhl player it's not a big concern
the reason vegas and florida are the top destinations for free agents (and why arizona is suprisingly popular despite being such a trash franchise) is because year round golf and relatively cheap housing not the tax situation imo. the weather and house prices are a huge reason vancouver is relatively unpopular. the tax thing is at best a distant 3rd
Like we are seeing with Tavares and CRA, player will employ tax professionals to assist them to help with tax strategies.
Nice weather places, given the time of year that NHL plays is beneficial when players are away from family. Easier in warmer climates, for players with families, to take little kids around when you are not having to deal with heavy coats, umbrellas, boots, etc. along with the stroller and stuff. Plus, they also enjoy not being noticed and don't hear as much talk about the player when they are out and about.
Vancouver, Seattle, Portland is a challenge as we saw recently with former Hawk Harris who went over in the Wilson trade that he didn't enjoy the city. If you are not used to the grey clouds from Nov to Mar, it can get depressing as most other places can be cold and snowy in the winter, but the sun is out. Now, for MLB, probably easier to Seattle to convince players to come there vs super warm places that have to play in dome like in Texas, AZ, FLA, Not dealing with grey skies during the season for the most part.