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For one, what you consider “wasteful”, others might not.
Maybe consider being an entrepreneur and go start your own country?
Of course, you'll end up paying most of your income as tribute to the various warlords, but they won't be taxes! They'll be "payments in lieu of death."
Or, you could live in the real world and pay taxes because they enable things like...preventing warlords. Also unimportant things like roads and police and clean running water.
There's a civil war going on right now with various rebel groups, but overall they certainly do have a federal government. They have an income tax rate around 30% plus a VAT of 15%.