He lives in Germany in the 1000 year old castle he bought in 1999 from the money he made from his ownership in the companies HSC, MetaTools and MetaCreations. The castle was not in the best state back then and was restored by Kai. Here is an aerial photo of the castle from 2009[1]. I lies on the Middle Rhine, a very beautiful area.
They can be bought and sold but they come with a lot of obligations. Every modification has to be approved and the specifications are often very detailed. All in all I think a castle is a bit like a yacht - many people can afford one, not so many have the financial means to maintain one. Doesn't mean that owning and living in a castle isn't really cool, just that there is more to it than most people would expect.
They cost a lot of money to maintain and you cannot just let them decay because they come with an obligation that you maintain them. This means not only a vague general obligation but the monument authority will make specific specifications what has to be done and what can't be done. You'll have to get approval for every modification down to little details like the very specific type of window frame and such things. In some areas these obligations can also include that you open your premises for the general public once a year for the National Heritage Day.
[1] https://upload.wikimedia.org/wikipedia/commons/f/ff/Burg_Rhe...