I highly doubt that taxation was the issue. I personally believe that they found out that Paragon had started development on CoH2 without permission (obviously a dev could correct me on that).
Unlikely for one show-stopper reason: Paragon had tried several times to spin up CoH2, but that was in the past: that was *not* what they were working on when they were shut down.
I believe with the benefit of hindsight and a much better awareness of the context of the situation than I had before, I have a very good theory on why Paragon was shut down, but unfortunately understanding it requires knowing facts its probably not appropriate for me to spill. I believe, though, that the shutdown wasn't an instantaneous decision, the wheels that ultimately led to the shutdown had started turning as much as a year before, but the surprise was that no one really knew where those wheels would eventually lead. I think a lot of people at Paragon genuinely believed they would lead to a completely different result instead.
Pedantically, I think Paragon was shut down because while everyone assumes this was a decision based on the facts as they existed at the moment of the shutdown, I believe the shutdown happened because someone at NCSoft made a decision that amounted to "X, or Y" where Y was shutdown (and X was something else) long before, and Paragon thought the choices were X, Y, and Z, where X was something, Z was the next best option, and Y was shutdown and the last thing that could happen. X didn't happen, Z was an option NCSoft hadn't really considered to the degree Paragon did, and that triggered Y basically automatically.
Also, I think NCSoft Korea really didn't like Paragon Studios or City of Heroes. CoH didn't make enough money to counterbalance the fact that NCK didn't really like PS or CoH all that much. People assume that money is everything to businesses, but its not. Its often just as important that you're proud of your business lines, that you're praised for your business lines, that you aren't questioned about your ability to manage your business lines. I think it burned them that they couldn't make CoH succeed in Korea. I think it annoyed them that they couldn't use CoH or Paragon to expand their North America footprint as much as they wanted to. I think ultimately PS and CoH had no defenders in Korea, so it didn't really take a lot of effort to shutter them.
That's actually how business decisions are made. When the numbers are big enough, the accountants have enormous power. But when the numbers aren't big and the bean counters step aside, its all politics. To put it another way, Paragon Studios didn't go bankrupt, it lost an election.