Not paying sales tax on mail order was the norm. The time period you're talking about, Amazon, and the internet in general, hadn't penetrated to the general public. 1995-96 was just when a small minority of people were waking up to the idea they needed to be on the internet and getting their first direct PPP dialup account. People still went to physical book stores because, for one thing, you couldn't preview a book online.
It wasn't at all obvious that Amazon would take over the world well into the 2000s. They looked like every other dotcom, particularly because they didn't consistently make GAAP profits and so people were just waiting for them to die. AWS, Kindle, Prime, Fresh, lots of stuff are recent developments.
Absolutely nothing about the original concept could have told you what it would become or was in any way exclusive.