Tax exempt orders should still report an Tax Id in the REST API.
Many connectors between Woocommerce and accounting programs require orders to have an Tax ID (from the Taxes inside WooCommerce), even when the customer/order is exempt from paying any Tax.
Looking at the WooCommerce REST API (https://woocommerce.github.io/woocommerce-rest-api-docs/#order-properties), the Order->Line_Items->Taxes shouldn't be empty, and thus any other third party is not expecting it to be empty. Still this is what the WooCommerce EU VAT Number does.
The extension should give the ability to add for example an 0% tax defined in WooCommerce so it will properly work with other programs that make use of this.