They flock to places you can golf 365 days a year and pay no state taxes. The anonymity is secondary. When you make the kind of money these guys do, you can afford to live behind walls and gates, party behind velvet ropes, and get your errands like grocery shopping or dry cleaning done by the hired help.
It's not like people are running into McDavid strolling through the West Edmonton Mall. He lives about 10 minutes from where I do and I've never clapped eyes on him outside of Rogers Place and I never go out expecting to see him around. I've never stood behind him in the checkout line at Safeway but I might have stood behind the person he has on retainer to buy groceries for him. You can't get anonymity but you can get privacy if you have enough money, even in a town as relatively small as Edmonton. That said, everyone in town knows where he lives but I've never heard of anyone getting caught hiding in the bushes by his recycling bins. Most people are respectful.