These guys are regular people and Canada is a foreign country. It might seem stupid to you, but if the money is comparable, would you want to move to a foreign country when you don't have to? That's kind of the main thing here: comfort with what you know, versus the uncertainty of a foreign country. Most people are going to choose what they already know as opposed to what they don't know, especially in this scenario wherein these guys are all millionaires and already living like kings: why go do that in a foreign country when you have the exact same things and live under the exact same luxury in your own country? Moving to Canada presents unnecessary inconveniences for them that they can avoid entirely by taking the same deal in their own country.
The same "stigmas" that these guys have about Canada is reiterated by your average Canadian person's "stigmas" about US cities. Most people who complain about US born players not wanting to move to Canada don't understand that. Ask your average Canadian about the thought of moving to America and they'd tell you things like "you can't even go to the doctor or get medical treatment!", "there's racists everywhere!", etc, etc. regardless of the fact that it's pretty much the same shit in both countries.