They aren't changing every single tag in the store.
Many stores like to pre-tag each product package, either at the store or manufacturer- you couldn't do that if the tax had to be included in the price as the stores have many locations each with different tax rates. (I do think the tax rates should be prominently posted at the door).
Sales tax compliance is already a massive PITA for retail stores. Making them include the sales tax on the tag would just be an even bigger PITA.