I have been having this problem for a very long time. I thought I made a mistake in how I had the "tax exempt" setting for the customer but I have tried several combinations and my sales are NOT showing up in the sales tax report. Thank goodness I only have a few sales in my 2 sales tax payable states so I can manually go through the orders to find the applicable orders and will have to manually values. The reports don't work at all. Although there is a "non-taxable" column in the reports there is nothing there. It's worthless.