The REAL real pain
The real pain is that if you're registered for sales tax you have to make a monthly return even if you don't owe any, and if you don't send in a return there's a penalty. So how's that supposed to work when you're registered in all 50 states and 10,000 different cities and counties?
Furthermore, when I was registered for sales tax they made me post a bond. It wasn't much, it was $500, but it would be a serious problem to have to post one for all 50 states.