Having been on the 'board' of a fan-based org that formed a non-profit in Canada, I might be able to shed some light. But since I'm not in this particular group, take it with a large grain of salt.
Forming a non-profit isn't straightforward, as different countries/provinces/states all have different rules, many of which are internally contradictory and seemingly deliberately confusing. If you are not of a legal bent, it's easy to get lost and misled on how to go about setting one up as often the directing agency involved will have multiple locations for the rules and those different locations will have different versions. There are sites that will automatically generate the documentation you need to file for LLC and non-profit status, but what they generate is often reams of non-helpful gobbledegook that doesn't actually apply to your specific situation. And getting ahold of actual lawyer with experience in non-profit incorporation that is willing to work on-the-cheap for this kind of operation is going to be... tricky. :)
If you're the obsessive type (and let's be honest here, the only people who would go through this amount of effort to set up a public rogue server farm for a 10+year old obsolete MMORG are going to be obsessive types), there are dozens of bizarre rat-holes that you can get caught up in and get lost on.
And, of course, once you've done it wrong, it's often very costly to undo.
I'm somewhat surprised that they didn't set up the company in Canada, given the majority of the servers are now there, but they probably didn't plan on that move until after they had decided where to incorporate. They wouldn't have needed to worry about COPPA then as well. Of course, the rules I'm familiar with are that the board of directors (or whatever they will be called), has to have at least one person with Canadian residency, and I have no idea where any of the Homecoming people live. Setting up corporations in foreign countries involves a whole lot of additional insane rules.