Some obvious reasons, beginning with those leaning more towards net pay and ending more towards quality of life
1. You're equating taxes with the entirety of cost of living, ignoring other important factors; it's tedious to list them all here (housing, healthcare, property tax*, etc)
2. You're ignoring other income through endorsements; the best teams for endorsements are going to be in high tax cities & states/provinces. Sure, McDavid could make more signing in Florida without paying as much income tax, but he'd make far more in Toronto or New York through his endorsements. (And he's probably a bad example because he's got a brand that carries in so many markets; very few in the NHL have any real cachet, especially in the US; it's only Canadian stars in big Canadian cities that pull the biggest endorsements).
3. You're ignoring other lifestyle choices; granted most of these have greater relevance to older players with families, but also most of the players (like Marchand) who have this flexibility are older; this is not the same as Kaprizov holding out for an insane AAV (that's next). But apart from the pleasantries (ie, the weather is nice), the actual cost of living varies greatly from city to city.
4. Lifestyle choices continue to non-monetary (or indirect) factors: NYC is more exciting than Dallas, unless you first laced your skates on a West Texas ranch. Some cities have better weather, as previously discussed.
5. You're ignoring team build/having a well-run organization/signing with a team that has "a chance to win." It's objectively obvious that most NHL players would like to play on a team with Kaprizov. But if he's going to demand $16MM+ AAV, there are a lot of level headed players who would rather play with a similarly talented $12MM AAV star and an/other player/s that is/are $4MM AAV better. This is essentially your argument for salary cap restructuring, but you can't have it both ways.
6. Still, ~40% of the league is Canadian players and only 7 teams are in Canada (despite the fact that I always forget 1 and can never name more than 6). Living near home/family/where you grew up is a strong factor for a lot of players.
*=Most states with no income tax
have extremely high property tax rates, and many NHL players enjoy a high standard of living
It's only a quick fix if you think the math is simple. I don't think the math is simple, only the conversation that happens on this issue. If you want to fix this, give teams power to make the choices they want by removing the most severe restrictions of the cap. You want to fix the league, help the Flames get out of Huberdeau's contract. You want to talk about the advantage Dallas has with no income tax? Don't ignore the disadvantage they've had carrying $18MM+ on Seguin and Benn for the last few years. There is no one-size-fits all solution unless you wear blinders.
Is the income tax issue an issue? Absolutely. Is it the biggest issue or even a major issue? Absolutely not, it's just tiresome.