The canton of Zug is well-known for its low taxes. When I remember right, Zug has the lowest taxes in Switzerland. This is the reason why a lot of famous people live there, among other things Michael Schumacher, Sebastian Vettel (both Formela 1 champions) and Tina Tuner (world famous singer. she even got the Swiss citizenship).
While Zug does have low taxes none of the people you mentioned does actually live there nor pay any of them taxes there. Schuhmacher lives in Gland which is located in canton Waadt, Tina Turner lives in Küsnacht which is located in canton Zurich, Vettel lives in the canton Thurgau. The low taxes in Zug concern the rich swiss citizens rather than foreign millionaires. Rich foreigners can get special tax-deals in other places than Zug easily and they often do.