I didn't do the calculations so you might be right. 35% income tax + 7.85% state taxes on what's left = about 40% total taxes on the top tax bracket.
Edit
So why don't I do the calculations.
4 million euros adjusted to net dollars = $4,924,000
Divided by 0.6 = $8.2 million per year.
Yep, not $9 mil

The big difference is Euros are paid after taxes, NBA players are paid before taxes