Paying tax is not a punishment. It's a responsibility.
I don't believe he had a responsibility to even answer that question - you have no responsibility to answer personal questions that people have no right to ask you.
I care about Roger Sterling, one of the most subtle and amazing characters in dramatic history ["Mad Men"]. This guys who knows precisely who he is, yet leaves us time after time hoping desperately for him to finally grab control of his life and some responsibility for those around him.