Again, there's no such thing as a non-tax state. There are states with income tax and states without; in states without, you're still paying tax somewhere else, be it property tax, sales tax, estate/wealth transfer tax, etc. Tennessee, e.g., has the highest sales tax rate in the country. It's getting its revenue.
Your point about the pro rata tax split based on where the income was earned doesn't really strike against my argument -- that the tax disparity isn't anywhere near what it's made out to be. You only get 41 home games, so that's 41 where you could be subject to income tax even if you play for a team in a no income tax state. None of that would be deductible for those players, because you can only deduct either state sales or income tax, not both; in turn, that helps even out the playing field come federal return time when players in income tax states get to deduct higher amounts.
The TCJA's ceiling on state tax deductions does change things a bit, but it obviously couldn't have impacted signings like Stamkos that happened before December 2017. Even then, the players with the most at stake (the very high earners)--assuming they have brains--are likely employing tax accountants/attorneys to help them tax plan and enter tax-favored transactions to reduce their liabilities and limit the effect of some of the TCJA's less favorable changes.