I'm staying away from financials eventho they're pretty attractive.

You have to file the US tax form 1040NR by April 15th (for the prior calendar year)

Remember, they withhold approx. 28%, but you still have to pay 15%.
Therefore you're only claiming back 13%.

A lot of people just don't care about filing the paperwork because if the dividends aren't that much.

For example;
If you're given $10 dividends (for the entire year), US govt withhold $2.80.
You filed claim, you're getting back $1.30c. $1.50c still have to go to Uncle Sam.
What can you do with $1.30c nowadays?   

But, it may be worth it if you're getting thousands of dollars in dividends...