Since when should exchanges take care of whether the user has paid tax or not? This is the first alarm that it is an illegal thing, but that all other things are already seen as scam schemes.
It's all such a laughable and ridiculous scheme that most people (even newbies) will see right through it. Of course they don't care whether and how much tax you need to pay. It's your personal responsibility to get your tax matters in order. But even if we lived in a world where they cared or were required to deduct such a tax from you, they could do that from the amount already in your account and not ask you to deposit more.