That seems like it would be a tax nightmare.

I've thought about doing something like that but having to file personal taxes in those states and triggering some kind of issue for my employer who only has a presence in two states has stopped me from doing it.

Am I misunderstanding something or are people just less risk averse than me when it comes to taxes?

Probably a DADT situation for the employee and company. Unless he's super highly-compensated, it would be immaterial for all involved.