We have the same issue…
If you untick the second tax settings, it will be correct the pricing and taxes in EU… BUT in that case tax free shopping is not working outside EU. ( USA , CAnada etc) it will still charge them full price and not your Price-VAT.
It seems like its either or currently… I tried to talk to the Shopify support and they seem to not understand the issue still.
I am looking into third party apps now, like Exemptify, to might resolve the issue.