They did set one up (HavenCo) then it disappeared because the so-called Royal family of Sealand are more interested in working with countries to get recognized and being king of turd island than going around other countries laws.
http://dave.lab6.com/acid/dump/2004/sealab_dead.html

Lol they wanted him to send all accounting to their daughter in the UK who was running a Windows 95 desktop. He refused for obvious security reasons so they simply stole HavenCo by confiscating everything. I wonder if it was him that set the Sealand fire

Last I heard Sealand is setting up a giant internet casino they apparently sold custodianship to somebody