There is always upsides and downsides about being contractor vs. full-time. Basically though RVD is a brand, so he can easily earn money and be able to afford healthcare along with other stuff. For others its paycheck to paycheck, plus as well you have to actually keep track of your cash flow when taxes come.
So RVD is not wrong, but where John Oliver is, is that he is talking about everyone; a corporation should umbrella everyone. RVD's choice though, but he better have a side hustle, because even if you are a big name, the cash flow will stop at some point from the Wrestling Merchandise side or not what it once was.