I don't pretend to understand the tax rules of either the UK or England. I do know England is a part of the UK. That being said, most men are allowed to choose how they live and where they live paying proper respect to the laws of the various countries.
Connery opted out of a UK Scotland. I see no right nor wrong to his choice. He lived as he wished, fought honorably for Scotland's independence and exercised his right to emigrate. I understand you miss his tax payments. But, he simply moved to live more comfortably, fiscally, philosophically, morally, etc. He simply exercised a choice and seemed to accept all of the attendant benefits and the adversities of that choice.
But, we've co-opted this thread and for that I apologize to the OP.