There might be one of the following reasons due to which VAT Exempt tab is not displayed in checkout:
The product in the cart doesn’t have tax applied on it.
You might not have copied our VAT Exempt extension folder in template as well as layout file located at app/design/frontend/default/default/template/vatexempt and app/design/frontend/default/default/layout/vatexempt.xml into your respective theme.
You may not have declared at least one reason in VAT Exempt admin grid.
You have skipped to enable VAT Exempt either from System --> Configuration or from advanced section at admin side.