I think I found the answer, it's a feature added in v1.9:
http://www.magentocommerce.com/knowledge-base/entry/cross-border-price-consistency
In our case, it's not possible to upgrade to 1.9 at this time, so I will give some fix modules a try:
http://www.magentocommerce.com/magento-connect/fixed-gross-price.html https://github.com/WMI/WMG_Tax