I, on the other hand, think that high taxes end up benefitting everyone through greater services for those down on their luck which seems to translate to less desperation, less resentment, less classism, less crime. Basically overall far better peace of mind for all involved even though getting filthy rich isn't as much a thing. It's totally possible there are other circumstances at play here like the relative homogeneity of Scandinavian countries relative to the US so this is just a working hypothesis at the moment.
That's a perfectly reasonable decision.
That said, far more Scandinavians have calculated that they would rather have the US approach than the other way around. Whether on an absolute or (especially) per capita basis, far more Swedes and Norwegians move to the US than follow your lead and move to Scandinavia.
[1] https://www.reddit.com/r/todayilearned/comments/4rcl0o/til_a...