Newegg did include sales tax in its price.
The problem is that different states have different tax laws, such that if you buy something outside the state that is then delivered into the state in some cases you have to pay tax to the state.
The other problem is that while the company CAN do this on your behalf, under the tax law (which was probably written up before Internet shopping became a thing) it is up to the buyer to ensure they pay the tax.
The big problem here is that most of the tax laws were written up before Internet Shopping took off. Buying out of the state would have been fairly uncommon outside of businesses and if you were doing out of state buying then you would probably track it.
Now you can just go online and click a couple of times, you don't know where the product comes from, but the taxes still need to be paid.