Hi,
As you said we do not have a feature to display taxes in the tickets. But I can get you in the right direction to make modifications you would like, but unable to provide the entire customization.
You can follow our themer’s guide:
https://theeventscalendar.com/knowledgebase/themers-guide/
To move and modify this template that displays the tickets in the event:
wootickets\views\wootickets\tickets.php
This is the lines that display the price:
echo "<td class='tickets_price'>";
echo $this->get_price_html( $product );
echo "</td>";
You could just add some text inside the quotes of the 3rd line there to display the message you would like for the VAT tax.
Let me know if you have any follow up questions.
Thanks