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.
Kai bought a castle in Germany that he intended to use as an incubator, called ByteBurg (burg being German for "castle"). I am not sure how successful it was, but ByteBurg II was cancelled. The latest news that I could find are from 2016 that claim that Kai would never sell the castle.
He had a blog that he did not update after a while. This blog's web address is now being used for some sort of penis enhancement service, which I find rather bizarre.
