The Tax Collector is a henchman who visits those buildings in the realm that pay taxes. By default, he visits any structure with at least 10 gold in it, and returns to the Royal Palace once he has collected at least 25 gold. However, these amounts can be changed by selecting a Tax Collector and clicking the little button at the top left of his picture. This will update these amounts for all Tax Collectors at once, and the settings will be stored until you exit the game. At first level, the Royal Palace contains 4 Tax Collectors, at second level there are 5, and at the third and last level, 6 Tax Collectors may roam the streets at a time. The Tax Collector may return taxes to the Royal Palace or a Guardhouse, and he will choose whichever he is closest to once he collects his quota.
Not a job for the faint of heart, Your Majesty. Being a Tax Collector means walking around with a big gold-coin-shaped target on your back, rain or shine.