This is quite complicated. Technically, the internet is still the Wild West. However, vendors are supposed to charge sales tax if they have a "brick and mortar" store in your state. If not, they can get away with not charging sales tax. However, even if they don't charge sales tax, you are STILL RESPONSIBLE legally for the sales tax and are supposed to report it and pay it as a "use tax", which I can say that perhaps nobody does and I have never heard of any action against anybody as a result of it. As for Macy's, I don't know why they didn't charge tax. They have stores in Florida and should be charging sales tax in Florida. Most likely, it is Macy's that can get in trouble not you even though you are technically responsible for it as a "use tax".
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I agree with attorney Address. If the vendor has a physical presence in the state they should charge the sales tax, if they do not they do not charge it and the purchaser is responsible to pay a use tax which is the equivalent of the sales tax. While many people do not pay the use tax, many states are cracking down on this.
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