No it absolutely isn't. Where you live physically means nothing - this is the 21st century. He can stay wired to Canada, his friends, family etc... with absolutely no problem. His girlfriend is Serbian - it makes total sense he lives there. And for a tennis player with a ranking that means he needs to play challenger events, Europe is the most cost effective and opportunity rich environment for a player - I think its great actually, and may help him mentally to relaunch his career.
You mentioned Milos by the way "not turning his back on Canada" - for all intents and purposes, milos lives in Spain as much as Canada these days, and again good for him.
He's training in Spain, yes, but his home is in Canada.. while Frank's home is no longer in Canada, it's Serbia. Do you see the difference?
Anyway.. like I said, I'll leave it alone.