No, Empower Dashboard does not collect any tax information from your Financial Institutions. The only tax data that we have is for your accounts managed by Empower Personal Dashboard, if you have such accounts.
For sites that are linked using the new Open Authorization process such as Bank of America, you may see "Tax Statements" in the list of data shared with Empower Personal Dashboard:
The information on this screen is not set by Empower Dashboard and is part of the Financial Institution's general authorization page. This is useful for sites that do collect tax information, but Empower Dashboard does not use, nor do we collect, this data.