$500k/year sounds like a lot, but that's enough that taxes are going to take a large bite. Only the biggest stars can get their income deferred beyond their career. Because of the nature of the job, you're going to have larger housing costs: when you get traded, you need to find somewhere to live quickly and you might be on the hook for the old lease for some time; depending on the league, off-season training may happen in a different part of the country than the regular season, so you might need housing there too... Moving costs probably add up, because trades are immediate.

If you're only in the league for 5 years, chances are you're spending some time in the minors and you're typically not earning at your headling contract rate then... Also, a lot of the headline rates include bonuses for winning the championship which statistically few teams and players do.

There's also the problem that yes, these people need financial advice because they don't always have financial skills, but they also have trouble picking financial advisers because they don't always have financial skills.

Also, young people of all income levels get themselves into trouble with finance; higher income probably makes it easier.

I certainly agree that $500k/year for 5 years should leave you well off after, but it's not that surprising that it often doesn't.