Same in US and Canada.
In fact I get my GST (the VAT in canada) refunded, because I pay it for everything i pay for in Canada, but collect $0, since all my revenue is foreign.
Before I received my first check, i spent about an hour on the phone and faxed several documents to the tax lady, before she understood what was going on.
I would think you wouldn’t have to pay the tax, since there was no value added in your country.