Everyone I know (and it's a few because Saudi is often the next step for expats leaving Shanghai) have seen their standard of living raised substantially and are now sitting pretty enjoying an early retirement.
Even alcohol isn't an issue and most pop across the bridge at weekends to drink and party to their heart's content (to say nothing of their bar at 'home).
I believe a lot of the footballers there don't even live in Saudi anyway. They live in Bahrain. Those who do live in Saudi though would be living in essentially purpose built communities.
I wouldn't personally want to live over there if I'm honest, but it certainly isn't risky or a poor standard of living.