Tax evasion is a crime that's much more throughly punished than lying to sense agents or misreporting wealth. That's for obvious reasons, because tax evasion actually takes money from the hands of the government, while the later actions (that are not even consistently considered crimes) just hurt some abstract concept of data gathering, that could lead to better policies in the future, or not - nobody can be sure - for reasons that very few people can understand.

Add to that that the few people in power that do understand how data can improve policies normally have an idea what kind of improvement they'll get, and don't like it (they are in power, if they liked it, they'd already do it). While tax evasion is understood by everybody and weaken they power right now, in visible ways.