In my state, taxes change at least twice a year, and usually 3 times at a minimum. Changing what shelf products are on is a continuous, incremental thing- changing every tag in the store for tax changes would have to happen overnight for all products, on specific nights each year.
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.