Exactly. Immigration is hard, and very costly in more ways than just literally going to another place. Changing one’s government is, too, but in different ways that are distributed over the society it governs.
So if I was alone and without family or friends or language or a job to tie me to the place I live? Absolutely I would emigrate to somewhere more socialistic, not least because I’d be in a prime position to benefit from it, but also because I think it’s morally right to organize society in a way that protects its most vulnerable.