Just unusual. In most countries it's Immigration or Border Force who deal with passports and visas. Customs generally are only interested in any goods you are bringing in or taking out.
That's what I was implying. Immigration won't need any tax return, what they will ask for is a certifying letter from the tax office confirming the return has been filed. Similar to the official bank letter you get confirming your bank account. Where money is involved it will most definitely be coordinated!
I've never used an agent and never had a problem. You can get a list of requirements from the immigration office which serves your province or area. You use this as a checklist and ensure you have the required documents. It's really very easy. The only people who say it's difficult are those offering "help", which always comes at a ridiculous price. I know people who pay up to 20,000 baht for a 2,000 baht visa. Stupidity at its highest level