Things with taxes will NOT work correctly if these are different. Thus the warning printed at the top.
This setting is used by various Zen Cart functions when calculating the tax, not just for "display". When enabled Zen Cart stores the product price in the order as (product price + tax). When disabled it stores just the product price.
So with your settings when a customer places an order the product is saved without tax in the database. When you open the order for editing with your settings, you are telling the Zen Cart functions the tax is already included with the product price (so it removes it from the total).
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