I seriously doubt they do. But they have tax advisors who take care of those things for them. All the athletes so is sign the papers. In many cases without even reading the content.

I remember when Messi was in court in Spain a few years ago for tax evasion for money he eared through his image rights. His lawyers (intentionally or not) didn't declare all the money. It was reported that he said I don't know what they are doing, it's none of my business. I just sign the papers they give me. They have no clue what is going on because other people handle such tasks for them.