No, there is no need for that. Any broker that is an IRS qualified intermediary is equally tax efficient. Swissquote included. Swiss brokers have to withhold an additional 15% of gross dividends on behalf of Switzerland. However, you get a credit for that after filing your taxes, of course (and independent of your tax rate).
Negligible as a one-time cost, when you invest in ETFs anyway.
When your ETF yields an average of 6% and you’re out of the market for an additional 1% of a year (3.5 days) due to the delay in external currency conversion, you’re already looking at an additional opportunity cost of 0.01 * 0.06 * CHF 1’000’000 = 600 CHF. Before taxes. Theoretically.
And if you don’t already have a low-cost brokerage account (say at IBKR) in good standing and with substantial turnover, I am wondering how smooth the plan of
open new account
immediately transfer out again
…is going to work on a whole million of Francs. On a newly opened account.