Yes, you're stuck with it, at least as far as core code goes.
Or, here's a coding workaround that might take care of it. Haven't tested it for any side effects though:
/includes/modules/order_total/ot_shipping.php
At line 67 (line number based on v1.5.0 code) you'll see this section of code. Add the highlighted lines as shown:
Code:
$shipping_tax_amount = zen_calculate_tax($order->info['shipping_cost'], $shipping_tax);
$order->info['shipping_tax'] += $shipping_tax_amount;
// if the order has no tax on products (non taxable or out of taxable zones), then reset list of tax classes that would have applied to any products in the order
if ($order->info['tax'] == 0) $order->info['tax_groups'] = array();
$order->info['tax'] += $shipping_tax_amount;
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