Hi,
Options of products are products themselves. If you edit these "option" products, you'll get the same "tax category" setting than for the normal products. That way, you can potentially configure differant tax categories between the product and each option in case the law taxes differently the option and the product in your country.
So if the tax is applied only to the main product price and not the options price of that product, it certainly means that the tax category is not configured in these option products.