The 36% US rate doesn't include Payroll Tax, Social Security, or healthcare (premiums paid by both employer and employee, additional out of pocket by employee). The 48% France rate doesn't include Employer Social Security Contribution - which is significant but includes a pension etc. In essence a person making 211k Euro is getting paid a lot more than someone making $250k USD because of that pension alone (i.e. its more like someone making ~$280k USD, which would be a US combined rate of more like 40%, before payroll tax, etc etc)
401k is not tax free, it's tax deferred. You still pay tax, just when you cash out.
"Payroll Tax" isn't a tax, it's a mechanism for paying taxes by witholding tax from a paycheck. Which payroll taxes are you referring to when you claim that the CA effective tax rate for someone making 250k USD is higher than the equivalent in France?
Personally, by far my largest tax is income tax (which is far lower in CA than France for my level of income). Everything else is basically meaningless in comparison.
"Healthcare" also isn't a particularly strong case for the scenario you're proposing. If you're making $250k, you've probably got pretty good employer sponsored health insurance. Personally I pay nothing for a fairly good plan with low deductibles and copays. Health insurance in the US sucks for the unemployed and for low-income workers, but it's not at all bad for high earners.
401k taxation is also much more nuanced than you're making it out to be: it's taxed on withdrawal, at the rate you're withdrawing it. If you're retired — which is when you'd withdraw — your other income is probably zero, so your 401k is taxed in a very low bracket since it's your only income, and you're only withdrawing as much as you need to spend — as opposed to income earlier in life, where you're trying to make much more than you spend in order to build up savings. So while it's not exactly tax-free, it's extremely low tax generally. Presumably any other money you're relying on at that point you'd structure as long-term capital gains, which are also taxed at a low rate.
401k is not tax free, it's tax deferred. You still pay tax, just when you cash out.