You may want to ask what exactly their "tax fee" is for.
Legally, they just need to give you W-2Gs (or depending on how it is structured, 1099-MISCs) that report your large winnings.
I don't know what it is for, but it is hypothetically possible that they are asking you to pay that fee to get an itemized list that would enable you to report the "session method". In SOME cases, that can significantly lower the tax that you owe (but in other cases, it could increase your tax versus only reporting your W-2Gs).
