I have spoke with Shopify support and they have confirmed that this is not a feature but it has been submitted to their feature request list.
This is crazy as most platforms have the feature to turn on/off the taxes for Facebook Catalogue.
After digging about I can see that this App supports this feature: https://apps.shopify.com/facebook-product-catalog#reviews
However its very expensive and seems ridiculous to pay for an app for such a simple process, especially how much you pay for Shopify already.
Shopify, if you are reading this thread, please add this feature asap! With Brexit in the UK, its needed no more than ever.