Ran into this issue today. A little background:
After trying everything outlined above, modifying policies - particularly, Sales Document - Create Sales Document policies, and becoming frustrated at there being no policies for Create Sales Order to allow taxes to be specified, I came across this MSDN article about how the GP Services could be designed or extended: https://msdn.microsoft.com/en-us/library/dd996499.aspx
Not interested in going quite that far, I found - "Program Files\Microsoft Dynamics\GPWebServices\XSLT", in particular, the "Microsoft.Dynamics.GP.SalesOrderCreate.xslt" file.
As it comes installed with GreatPlains, there are no transforms in place to utilize incoming tax data at all (no surprise, given what had been tried). USINGHEADERLEVELTAXES is set to 0.
Combining the Tax lines from the "Microsoft.Dynamics.GP.SalesInvoiceCreate.xslt" file into the SalesOrderCreate.xslt file, you can modify the XML sent into eConnect for SalesOrderCreate to properly create the Taxes.
The below example uses/was tested for header level tax behavior.
<?xml version="1.0" encoding="utf-8"?>
<xsl:stylesheet
xmlns:xsl="http://www.w3.org/1999/XSL/Transform"
xmlns:mbs="http://schemas.microsoft.com/dynamics/2006/01"
xmlns:gputil="urn:Microsoft.Dynamics.GP.TransformUtilities"
version="1.0">
<xsl:import href="Microsoft.Dynamics.GP.SalesCreateUpdateLibrary.xslt"/>
<xsl:import href="Microsoft.Dynamics.GP.StandardLibrary.xslt"/>
<xsl:variable name="CompanyId">
<xsl:value-of select="/SalesOrder/mbs:Context/mbs:OrganizationKey/mbs:Id"/>
</xsl:variable>
<xsl:template match ="/">
<eConnect xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:xsd="http://www.w3.org/2001/XMLSchema">
<xsl:apply-templates />
</eConnect>
</xsl:template>
<xsl:template match="SalesOrder">
<SOPTransactionType>
<xsl:apply-templates select="Lines/SalesOrderLine/Serials/SalesLineSerial">
<xsl:with-param name="UpdateIfExists">0</xsl:with-param>
</xsl:apply-templates>
<xsl:apply-templates select="Lines/SalesOrderLine/Components/SalesOrderComponent/Serials/SalesComponentSerial">
<xsl:with-param name="UpdateIfExists">0</xsl:with-param>
</xsl:apply-templates>
<xsl:apply-templates select="Lines/SalesOrderLine/Lots/SalesLineLot">
<xsl:with-param name="UpdateIfExists">0</xsl:with-param>
</xsl:apply-templates>
<xsl:apply-templates select="Lines/SalesOrderLine/Components/SalesOrderComponent/Lots/SalesComponentLot">
<xsl:with-param name="UpdateIfExists">0</xsl:with-param>
</xsl:apply-templates>
<xsl:apply-templates select="Lines/SalesOrderLine" />
<xsl:apply-templates select="Lines/SalesOrderLine/Components/SalesOrderComponent" />
<xsl:apply-templates select="TrackingNumbers/SalesTrackingNumber" />
<xsl:apply-templates select="Taxes/SalesDocumentTax" />
<xsl:apply-templates select="Commissions/SalesCommission" />
<xsl:apply-templates select="Payments/SalesPayment">
<xsl:with-param name="UpdateIfExists">0</xsl:with-param>
</xsl:apply-templates>
<xsl:apply-templates select="UserDefined" />
<xsl:apply-templates select="Lines/SalesOrderLine/Bins/SalesLineBin" />
<xsl:apply-templates select="Lines/SalesOrderLine/Components/SalesOrderComponent/Bins/SalesComponentBin" />
<xsl:call-template name="SalesHeader" />
<xsl:apply-templates select="ProcessHolds/SalesProcessHold">
<xsl:with-param name="UpdateIfExists">0</xsl:with-param>
</xsl:apply-templates>
</SOPTransactionType>
</xsl:template>
<xsl:template match="SalesOrderLine">
<taSopLineIvcInsert>
<xsl:call-template name="CreateUpdateLine">
<xsl:with-param name="UpdateIfExists">0</xsl:with-param>
<xsl:with-param name="CompanyId">
<xsl:value-of select="$CompanyId" />
</xsl:with-param>
</xsl:call-template>
<xsl:if test="QuantityToBackorder/Value != ''">
<QTYTBAOR>
<xsl:value-of select="QuantityToBackorder/Value" />
</QTYTBAOR>
</xsl:if>
<xsl:if test="QuantityToInvoice/Value != ''">
<QUANTITY>
<xsl:value-of select="QuantityToInvoice/Value" />
</QUANTITY>
</xsl:if>
<xsl:if test="QuantityCanceled/Value != ''">
<QTYCANCE>
<xsl:value-of select="QuantityCanceled/Value" />
</QTYCANCE>
</xsl:if>
<xsl:if test="QuantityFulfilled/Value != ''">
<QTYFULFI>
<xsl:value-of select="QuantityFulfilled/Value" />
</QTYFULFI>
</xsl:if>
<xsl:if test="TaxAmount/Value != ''">
<TAXAMNT>
<xsl:value-of select="TaxAmount/Value" />
</TAXAMNT>
</xsl:if>
<RecreateDist>0</RecreateDist>
</taSopLineIvcInsert>
</xsl:template>
<xsl:template match="SalesOrderComponent">
<taSopLineIvcInsertComponent>
<xsl:call-template name="CreateUpdateComponent">
<xsl:with-param name="UpdateIfExists">0</xsl:with-param>
</xsl:call-template>
<xsl:if test="QuantityToBackorder/Value != ''">
<QTYTBAOR>
<xsl:value-of select="QuantityToBackorder/Value" />
</QTYTBAOR>
</xsl:if>
<xsl:if test="QuantityToInvoice/Value != ''">
<QUANTITY>
<xsl:value-of select="QuantityToInvoice/Value" />
</QUANTITY>
</xsl:if>
<xsl:if test="QuantityCanceled/Value != ''">
<QTYCANCE>
<xsl:value-of select="QuantityCanceled/Value" />
</QTYCANCE>
</xsl:if>
<xsl:if test="QuantityFulfilled/Value != ''">
<QTYFULFI>
<xsl:value-of select="QuantityFulfilled/Value" />
</QTYFULFI>
</xsl:if>
</taSopLineIvcInsertComponent>
</xsl:template>
<xsl:template name="SalesHeader">
<taSopHdrIvcInsert>
<xsl:call-template name="CreateUpdateDocument">
<xsl:with-param name="UpdateIfExists">0</xsl:with-param>
<xsl:with-param name="CompanyId">
<xsl:value-of select="$CompanyId" />
</xsl:with-param>
</xsl:call-template>
<xsl:if test="PaymentAmount/Value != ''">
<PYMTRCVD>
<xsl:value-of select="PaymentAmount/Value" />
</PYMTRCVD>
</xsl:if>
<xsl:if test="TaxAmount/Value != ''">
<TAXAMNT>
<xsl:value-of select="TaxAmount/Value" />
</TAXAMNT>
</xsl:if>
<USINGHEADERLEVELTAXES>1</USINGHEADERLEVELTAXES>
<CREATEDIST>0</CREATEDIST>
<CREATETAXES>0</CREATETAXES>
</taSopHdrIvcInsert>
</xsl:template>
</xsl:stylesheet>
