Apex is not set-up to allow the "Tax Exempt" field on the customer record to flow down to the Quote or Order if the Wizard is used to create those records. However, if a standalone Order is created (without being tied to a Job or Quote/using the wizard) the "Tax Exempt" field on the Order is automatically filled in when the Customer (with a "Tax Exempt" number) is added to the Order.
I already spoke to JWS on this issue and Case # 1334414 has been assigned to it.