No, Personal Capital does not collect any tax information from your Financial Institutions. The only tax data that we have is for your accounts managed by Personal Capital if you have such an account.
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 Personal Capital:
The information on this screen is not set by Personal Capital and is part of the Financial Institution's general authorization page. This is useful for sites that do collect tax information, but Personal Capital does not use nor do we collect this data.