Why isn't my cancellation invoice for a tax-exempt order also tax-exempt?
For the cancellation invoice to also be tax-exempt, one of the two tax-exempt options must be activated under Settings → General settings → Countries → [Country].
If this isn't the case and the Tax-free option was only activated during invoice generation for the order, then the cancellation invoice won't automatically be tax-exempt.
Why don't tax rules apply during cancellation?
Tax rules currently aren't supported for cancellation invoices. To apply a different tax rate in the cancellation invoice, you need to create this tax rate under Settings → General settings → Taxes. You can then select it for the additional line items when generating a cancellation invoice.