US Federal Tax for anyone making > $415K/yr is 39.6% (hence the 40%). Florida doesn't get to avoid paying the government 5%, if they hide the money, move the money, write off expenses, etc. the same can be done anywhere with a quality accountant.
The thing is your permanent home residency matters that is being overlooked.
Kershaw's home residence is Texas to avoid LA taxes: http://www.accountingweb.com/tax/irs/clayton-kershaw-saves-millions-in-taxes-thanks-to-texas
Here is McCutchen's paystub, just look at all the state taxes he has to pay out based on where each game is played, he doesn't just pay 3% Pennsylvania State tax.
http://i.imgur.com/TyrGObW.jpg